Cancelled order due to end of session handling

[brima]

Dear all,

I've got the following situation:

- I'm starting a strategy with strategy not being flat at the moment of starting

- NinjaScript option on starting a real-time strategy is set to "Wait until flat before executing live"

- Exit on close is set to true

Now, when the strategy is trying to close the position an unexpected error comes up:

04.09.2008 19:14:41 Entered internal PlaceOrder() method at 04.09.2008 19:14:41: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''

04.09.2008 19:14:41 Cancelled order due to end of session handling: BarsInProgress=0: Order='NT-00494/Sim101' Name='Sell' State=Working Instrument='FDAX 09-08' Action=Sell Limit price=0 Stop price=0 Quantity=0 Strategy='KaVe2191B' Type=Market Tif=Gtc Oco='' Filled=0 Fill price=0 Token='751025c0e81246fabb56a1b9721c7ce2' Gtd='01.12.2099 00:00:00'

Why is this error triggered? End of session of the FDAX would be hours later?

brima

[NinjaTrader_JoshP]

What is your chart's session end time set at? You have Exit on close set to 30 seconds?

[brima]

Yes, Order Handling/Exit on close seconds is set to 30.

[NinjaTrader_JoshP]

Chart session end time? The only reason the Exit on Close order would kick in is if it is approaching the session end time defined by either the strategy or the chart.

[brima]

Chart session end time is not explicitly set - I open the chart with File/New/Chart with start date is today and last date is today.

Strategy doesn't define a session end time either, because Order Handling/Exit on close seconds is set to 30.

But: as soon as I start the strategy in real-time with no position opened on historical data which means being flat when starting - everything works as expected ...

[NinjaTrader_JoshP]

Chart session end is set after you open the chart. Right click on the chart and click Properties.

To confirm: you did NOT receive an Exit on Close order correct?

[brima]

It says
Session begins 00:00 and Session ends 00:00

I did not get an Exit on Close order. And I only got the two lines of messages as mentioned above in the output window as I set "TraceOrders = true" in the Initialize() method.

And in the log there are no errors reported at all.

[NinjaTrader_JoshP]

Ok. I understand the situation now. I will get back to you after I do some testing.

[NinjaTrader_JoshP]

The message you got is only induced when both of these conditions are met:

• if it is the last bar of the day
• and ExitOnClose = true or Time in Force = Day

[brima]

1st condition "it is the last bar of the day" is false as error time was around 19 o'clock

2nd condition "ExitOnClose = true" is true

But this means that only one condition is true and thus the message should not be induced as: false and true is false.

What do you think? Is it possible that the 1st condition is true and if yes, how could that happen?

[NinjaTrader_JoshP]

Baffles me too. If you are able to reproduce this consistently let us know.

[brima]

Okay, I had this problem yesterday and today and if I'm able to reproduce it tomorrow, I'll be back then ...

[NinjaTrader_JoshP]

If you hit it. Keep all of your output logs too. That will be useful for investigating the issue. Thanks.

[brima]

I hit it again and I'm able to reproduce consistently.

My output log:

----------------------------------------------
05.09.2008 10:28:52 Entered internal PlaceOrder() method at 05.09.2008 10:28:52: Action=Sell OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal=''
Exitlong
6184,5
----------------------------------------------
05.09.2008 10:28:52 Cancelled order due to end of session handling: BarsInProgress=0: Order='NT-00050/Sim101' Name='Sell' State=Working Instrument='FDAX 09-08' Action=Sell Limit price=0 Stop price=0 Quantity=0 Strategy='KaVe2191B' Type=Market Tif=Gtc Oco='' Filled=0 Fill price=0 Token='e0f0854d524e40008dcbfdcd179aa0c5' Gtd='01.12.2099 00:00:00'
6184,5
05.09.2008 10:28:53
-----------------------------------------------

Moreover the same conditions as mentioned above in my yesterday's postings.

Exit on Close is set to true but no session end specified neither in the chart properties nor in the strategy itself.

[NinjaTrader_JoshP]

brima,

You are on minute charts? Can you check the timestamp for these bars:

• bar before 5/9/08 10:28:52
• bar after 5/9/08 10:28:52