The entry order is a stop limit and the market moved very fast at this time. It looks like there is some kind of timing issue with the stop loss and the order. The order was placed on bar 1 (21:17:50), and doesn't look like it got filled until bar 4 (21:17:52 - that's where NT put the text for the entry). Bar 3 (21:17:50 as well) had gotten outside of the stop - limit range but bar 4 ended up back inside.
It looks like there is some logic to cancel if not filled on the same bar that is broken. The entry is submitted as Live Until Cancelled and I'm handling cancelation of entries myself but it seems NT is still trying to cancel the stop loss.
The log for the period (debugging in VS) is below (separated into two because it's too long for one post):
2015-09-29 11:57:07:009 (Playback Connection) Cbi.Account.Submit0: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Initialized instrument='ES 12-15' orderAction=SellShort orderType='Limit' limitPrice=1958 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 id=189 gtd='2099-12-01' currentOrderState=Initialized 2015-09-29 11:57:07:010 (Playback Connection) Cbi.Account.Submit1: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Submitted instrument='ES 12-15' orderAction=SellShort orderType='Limit' limitPrice=1958 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 id=189 gtd='2099-12-01' currentOrderState=Initialized 2015-09-29 11:57:07:010 (Playback Connection) Cbi.Simulator.Submit: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Submitted instrument='ES 12-15' orderAction=SellShort orderType='Limit' limitPrice=1958 stopPrice=0 quantity=1 tif=Gtc oco='' filled=0 averageFillPrice=0 id=189 gtd='2099-12-01' 2015-09-29 11:57:07:010 (Playback Connection) Cbi.Account.OrderUpdateCallback: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Submitted instrument='ES 12-15' orderAction=SellShort limitPrice=1958 stopPrice=0 quantity=1 orderType='Limit' filled=0 averageFillPrice=0 error=NoError comment='' 2015-09-29 11:57:07:035 (Playback Connection) Cbi.Account.OrderUpdateCallback: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Accepted instrument='ES 12-15' orderAction=SellShort limitPrice=1958 stopPrice=0 quantity=1 orderType='Limit' filled=0 averageFillPrice=0 error=NoError comment='' 2015-09-29 11:57:07:057 (Playback Connection) Cbi.Account.OrderUpdateCallback: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Working instrument='ES 12-15' orderAction=SellShort limitPrice=1958 stopPrice=0 quantity=1 orderType='Limit' filled=0 averageFillPrice=0 error=NoError comment='' 2015-09-29 11:57:07:075 (Playback Connection) Cbi.Simulator.Fill1: thread='30' orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' maxFillQuantity='0' price='1959' 2015-09-29 11:57:07:075 (Playback Connection) Cbi.Simulator.Fill2: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' fillQuantity='1' price='1959' 2015-09-29 11:57:07:075 (Playback Connection) Cbi.Account.OrderUpdateCallback: orderId='fb4c5c05b36c41ecbf0f8113795d9cc9' account='Playback101' name='MacdSlopeShort' orderState=Filled instrument='ES 12-15' orderAction=SellShort limitPrice=1958 stopPrice=0 quantity=1 orderType='Limit' filled=1 averageFillPrice=1959 error=NoError comment='' 2015-09-29 11:57:07:094 (Playback Connection) Cbi.Account.ExecutionUpdateCallback: execution='691bd4943ba34749a5c28d1041814724' exchange=Default price=1959 quantity=1 marketPosition=Short operation=Add orderID='fb4c5c05b36c41ecbf0f8113795d9cc9' time='9/21/2015 9:17:51 PM' 2015-09-29 11:57:07:097 (Playback Connection) Cbi.Account.Submit0: orderId='a4d6037914424c5a8d6aa13442aead06' account='Playback101' name='Stop loss' orderState=Submitted instrument='ES 12-15' orderAction=BuyToCover orderType='Stop Market' limitPrice=0 stopPrice=1961.75 quantity=1 tif=Gtc oco='691bd4943ba34749a5c28d1041814724' filled=0 averageFillPrice=0 id=190 gtd='2099-12-01' currentOrderState=Initialized 2015-09-29 11:57:07:097 (Playback Connection) Cbi.Account.Submit1: orderId='a4d6037914424c5a8d6aa13442aead06' account='Playback101' name='Stop loss' orderState=Submitted instrument='ES 12-15' orderAction=BuyToCover orderType='Stop Market' limitPrice=0 stopPrice=1961.75 quantity=1 tif=Gtc oco='691bd4943ba34749a5c28d1041814724' filled=0 averageFillPrice=0 id=190 gtd='2099-12-01' currentOrderState=Initialized 2015-09-29 11:57:07:097 (Playback Connection) Cbi.Simulator.Submit: orderId='a4d6037914424c5a8d6aa13442aead06' account='Playback101' name='Stop loss' orderState=Submitted instrument='ES 12-15' orderAction=BuyToCover orderType='Stop Market' limitPrice=0 stopPrice=1961.75 quantity=1 tif=Gtc oco='691bd4943ba34749a5c28d1041814724' filled=0 averageFillPrice=0 id=190 gtd='2099-12-01' 2015-09-29 11:57:07:097 (Playback Connection) Cbi.Account.OrderUpdateCallback: orderId='a4d6037914424c5a8d6aa13442aead06' account='Playback101' name='Stop loss' orderState=Submitted instrument='ES 12-15' orderAction=BuyToCover limitPrice=0 stopPrice=1961.75 quantity=1 orderType='Stop Market' filled=0 averageFillPrice=0 error=NoError comment='' 2015-09-29 11:57:07:123 (Playback Connection) Cbi.Account.OrderUpdateCallback: orderId='a4d6037914424c5a8d6aa13442aead06' account='Playback101' name='Stop loss' orderState=Accepted instrument='ES 12-15' orderAction=BuyToCover limitPrice=0 stopPrice=1961.75 quantity=1 orderType='Stop Market' filled=0 averageFillPrice=0 error=NoError comment=''
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