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SellStop not canceled after MIT target hit

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    SellStop not canceled after MIT target hit

    I was watching my strategy run the other day and saw an execution that was concerning.

    My system enters the market using signalNames. Once the entry triggers and I log it to my system in the OnExecute - I execute a sell stop and a target using the same signalName which I believed creates a OCO (I execute SetStopLoss and SetProfitTarget). The difference is the sell stop and targets are not sent to the exchange, preferring to use the simulated stops and targets.

    When my target was hit yesterday [high of the day ], the system immediately sold the open order but the sell stop was not canceled. I was fortunate to be watching it since the sell stop was sitting open.

    When the target is hit, the sell stop should be canceled if the signalName is the same yes?

    #2
    Hello MarketAlly,

    Thank you for your post.

    You are correct, it should have cancelled the stop loss based on your description of the scenario. Can you send us your log and trace files for the date this occurred? If so, please note the time this occurred and go to Help > Mail to support, and reference 'ATTN: Patrick H - 1483604' in the subject line.

    Comment


      #3
      It just happened again this morning...

      1. 2016-03-16 09:34:46:007|1|4|NinjaScript strategy 'Production ES/54275101' submitting order
      2. 2016-03-16 09:34:46:009|1|32|Order='0b19828aa7854a9192c927b92 9adac86/****' Name='511618' New state='Submitted' Instrument='ES 06-16' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
      3. 2016-03-16 09:34:46:070|1|32|Order='551476025/****' Name='511618' New state='Accepted' Instrument='ES 06-16' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
      4. 2016-03-16 09:34:46:072|1|32|Order='551476025/****' Name='511618' New state='Working' Instrument='ES 06-16' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
      5. 2016-03-16 09:34:46:076|1|32|Order='551476025/****' Name='511618' New state='Filled' Instrument='ES 06-16' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=1 Fill price=2003 Error='No error' Native error=''
      6. 2016-03-16 09:34:46:086|1|8|Execution='27936829696' Instrument='ES 06-16' Account='****' Exchange=Globex Price=2003 Quantity=1 Market position=Long Operation=Operation_Add Order='551476025' Time='3/16/2016 9:35 AM'
        2016-03-16 09:34:46:131|1|4|NinjaScript strategy 'Production ES/54275101' submitting order
      7. 2016-03-16 09:34:46:132|1|32|Order='baef5831b4bd479a9693199d4 c81b361/****' Name='Stop loss' New state='Trigger pending' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=1997.75 Quantity=1 Type='Stop Market' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''
      8. 2016-03-16 09:34:46:147|1|4|NinjaScript strategy 'Production ES/54275101' submitting order
      9. 2016-03-16 09:34:46:155|1|32|Order='b952186b6ade4052bcfc50266 1a62a7d/****' Name='Profit target' New state='Trigger pending' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=2004.75 Quantity=1 Type='MIT' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''
      10. 2016-03-16 09:34:46:190|1|64|Instrument='ES 06-16' Account='****' Average price=2003 Quantity=1 Market position=Long Operation=Operation_Add
      11. 2016-03-16 09:35:43:029|1|32|Order='b952186b6ade4052bcfc50266 1a62a7d/****' Name='Profit target' New state='Submitted' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=2004.75 Quantity=1 Type='MIT' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''
      12. 2016-03-16 09:35:43:096|1|32|Order='551471228/****' Name='Profit target' New state='Accepted' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='MIT' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''
      13. 2016-03-16 09:35:43:133|1|32|Order='551471228/****' Name='Profit target' New state='Working' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='MIT' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''
      14. 2016-03-16 09:35:43:140|1|32|Order='551471228/****' Name='Profit target' New state='Filled' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='MIT' Time in force=GTC Oco='27936829696' Filled=1 Fill price=2004.5 Error='No error' Native error=''
      15. 2016-03-16 09:35:43:143|1|8|Execution='27937398016' Instrument='ES 06-16' Account='****' Exchange=Globex Price=2004.5 Quantity=1 Market position=Short Operation=Operation_Add Order='551471228' Time='3/16/2016 9:35 AM'
      16. 2016-03-16 09:35:43:272|1|64|Instrument='ES 06-16' Account='****' Average price=0 Quantity=0 Market position=Short Operation=Remove


      ****
      At this point I open the SuperDOM and close the open stop loss.
      ***
      • 2016-03-16 09:38:22:678|1|4|SuperDOM close position
      • 2016-03-16 09:38:22:678|1|4|Cancel all orders account='****'
      • 2016-03-16 09:38:22:699|1|32|Order='baef5831b4bd479a9693199d4 c81b361/****' Name='Stop loss' New state='Cancel submitted' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=1997.75 Quantity=1 Type='Stop Market' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''
      • 2016-03-16 09:38:22:713|1|32|Order='baef5831b4bd479a9693199d4 c81b361/****' Name='Stop loss' New state='Cancelled' Instrument='ES 06-16' Action='Sell' Limit price=0 Stop price=1997.75 Quantity=1 Type='Stop Market' Time in force=GTC Oco='27936829696' Filled=0 Fill price=0 Error='No error' Native error=''


      Note the "27936829696" - it is part of the Oco but it was not canceled once the target was hit.
      Last edited by MarketAlly; 03-16-2016, 08:00 AM.

      Comment


        #4
        Hello MarketAlly,

        I am able to reproduce this behavior on my end. I am reporting to development. When I have any details I will update this thread.

        Comment


          #5
          I tried using the non-simulated stops and it works for canceling the stop if the Target is hit but if it doesn't hit the target and hits the stop, the target is still left open.

          Do you have an estimated time frame when the next release is put out? Will this fix be in that release? Currently this forces me to watch the strategies rather than letting them run unattended.
          Last edited by MarketAlly; 03-18-2016, 09:59 AM.

          Comment


            #6
            Can you give me the defect # - so I can monitor the releases for the fix?

            Comment


              #7
              Hello MarketAlly,

              Thank you for your patience.

              The case is tracked under NTEIGHT-9562, however there is no timeframe and the matter is still being investigated by the development team.

              Comment

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