I use the unmanaged approach and send 2 stop orders. Both have the same stop price. The 1st one is OCO with a limit order and the 2nd one is not an OCO. I call ChangeOrder on both stop orders unless the 1st one isn't working any more because its OCO limit order has already been filled. So this behavior appears to happen only to the 2nd stop order and only if I modify both stop orders at once. If the 2nd stop order is the only one that is still working it works correct.
This is somewhat related to another problem: NT refuses to send a stop order if its stop price is marketable. It's a really annoying pitfall that one has to remember about when coding a strategy. Why don't you guys make it configurable whether this policy is enforced?
The attached image shows a fill 400 pips away from the market.
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