Was that issue ever resolved? My stop loss orders are being spontaneously canceled. I too am using multi-series strategy. My stop orders get "accepted" and "working", but then spontaneously canceled a few bars later (anywhere from 5-50 minutes later).
Using a Print statement for debug purposes, I get this output during one round-trip of buy-sell:
OnOrderUpdate(...){ Print(order.Name +" " + order.OrderState + " " + Time[0]); }
Buy Submitted 8/16/2012 9:34:00 AM
Buy Accepted 8/16/2012 9:34:00 AM
Buy Working 8/16/2012 9:34:00 AM
Stop loss Submitted 8/16/2012 9:34:00 AM
Stop loss Accepted 8/16/2012 9:34:00 AM
Stop loss Working 8/16/2012 9:34:00 AM
Buy Filled 8/16/2012 9:34:00 AM
Stop loss CancelPending 8/16/2012 9:42:00 AM
Stop loss CancelSubmitted 8/16/2012 9:42:00 AM
Stop loss Cancelled 8/16/2012 9:42:00 AM
Sell Submitted 8/16/2012 3:11:00 PM
Sell Accepted 8/16/2012 3:11:00 PM
Sell Working 8/16/2012 3:11:00 PM
Sell Filled 8/16/2012 3:11:00 PM
The example above happened to be a profitable trade, and my stop loss was never hit. But what scares me is the fact that it was canceled spontaneously during a bar in which no other orders were placed.
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