order cancellation message

[brucelevy]

Hey guys, so I'm trying to figure out whats going on. When the system enters an order it sometimes puts the stops above price for a long although it is set to put stops below swing lows - 3 ticks... Having some trouble deciphering where the issue is.

The swing stop strength is set to 5 and I noticed that price is in a downtrend and there are not swing lows anywhere near price, could this be the issue?

chart with no swing lows

https://gyazo.com/90c17df7bc706f34357c42dc8bb503ba

error messages

https://gyazo.com/fade60e9eb2ee41f5db6f45e8e6f54e3

https://gyazo.com/df150b284c17308f8977eb563870dbfd

[NinjaTrader_ChelseaB]

Hello brucelevy,

When calculating the price of your stop are you checking that the buy stop is above the ask or that the sell stop is below the bid?

Do you have prints that show the price that the order is being set to along with the current bid or ask price?
http://ninjatrader.com/support/helpGuides/nt7/print.htm

If so, please attach these prints to your next post.

[brucelevy]

I have the output window up now so if anything shows up ill repost; this is what I have for now from the log

https://gyazo.com/f9af9315907356bcced9314a69e091d1

[NinjaTrader_ChelseaB]

Hello brucelevy,

The Log is showing that an order was cancelled after another order was executed. (It looks like a profit target filled to close a short position and then the associated stop was cancelled)

However, the Log wouldn't show you which condition is setting the stop loss to an invalid price or what the current ask or bid price is when the stop is placed.

TraceOrders and prints are going to give you this information.
TraceOrders - http://ninjatrader.com/support/helpG...raceorders.htm
Prints - http://ninjatrader.com/support/helpGuides/nt7/print.htm

[brucelevy]

I put in the trade but I am getting thousands of these occurrences where it prints exits..

I have this before any of the exits so I don't know why its printing exits if its not in a position

if(Position.MarketPosition == MarketPosition.Long

9/22/2015 12:06:24 PM Ignored PlaceOrder() method: Action=BuyToCover OrderType=Market Quantity=0 LimitPrice=0 StopPrice=0 SignalName='' FromEntrySignal='S2' Reason='This was an exit order but no position exists to exit'
Exit Short trade at 1125.3 at 9/22/2015 12:06:22 PM

[NinjaTrader_ChelseaB]

Hello brucelevy,

Try printing the position outside of that condition.

Print(Time[0] + " | " + Position.MarketPosition);

[brucelevy]

9/22/2015 12:41:03 PM Amended stop order: Order='86bdfacafc2d40f6b85de20c02df8e02/Sim101' Name='Stop loss' State=Accepted Instrument='YM 12-15' Action=Sell Limit price=0 Stop price=16151 Quantity=1 Strategy='VolatilityTrader' Type=Stop Tif=Gtc Oco='1b045cef11fc42eaa7eb8555d10f0abd-429' Filled=0 Fill price=0 Token='86bdfacafc2d40f6b85de20c02df8e02' Gtd='12/1/2099 12:00:00 AM'

9/22/2015 12:41:03 PM Cancelled pending exit order, since associated position is closed: Order='86bdfacafc2d40f6b85de20c02df8e02/Sim101' Name='Stop loss' State=Accepted Instrument='YM 12-15' Action=Sell Limit price=0 Stop price=16151 Quantity=1 Strategy='VolatilityTrader' Type=Stop Tif=Gtc Oco='1b045cef11fc42eaa7eb8555d10f0abd-429' Filled=0 Fill price=0 Token='86bdfacafc2d40f6b85de20c02df8e02' Gtd='12/1/2099 12:00:00 AM'



Here is a screen shot of the above trade, I don't know why it has exited like that, the exit logic is either 10 ticks then breakeven or the yellow line crossbelow the pink... The swing stops look like they were placed 3 ticks below the swing low at 16151 according to the log which is correct..

https://gyazo.com/e797f1ecfa573e8515ef63397aa74cef

[NinjaTrader_ChelseaB]

Hi brucelevy,

To assist I will need information.

What do you want to troubleshoot first?

Do you want to find out why orders are being rejected?
Do you want to know why the exit order was cancelled after the entry order trade was closed?

The exit order that closed the trade on the chart is just named Sell. This means that it was not a stop loss that exited the order.

Do you call ExitLong, ExitLongLimit, or ExitLongStopLimit anywhere in your code?

Having added prints to each condition to see what time each condition is being triggered?
May we see these prints?

[brucelevy]

I'd like to first find out why the trades are exiting prematurely. Here is the long exit condition set (flip for shorts)

// Exit Long Condition
if(Position.MarketPosition == MarketPosition.Long
&& CrossBelow(LinReg(14), KAMA(2, 10, 30), 1))
{
ExitLong("", "L1");

}

// Swing Stop

if(Position.MarketPosition == MarketPosition.Long)
{
SetStopLoss(CalculationMode.Price, Swing(5).SwingLow[0] - 3 * TickSize);
}

//breakeven at 9 ticks then plus 2

if (Position.MarketPosition == MarketPosition.Long
&& Close[0] > Position.AvgPrice + 9 * TickSize)
{
SetStopLoss(Position.AvgPrice + 2 * TickSize);
}
//trail on KAMA after x ticks

if (Position.MarketPosition == MarketPosition.Long
&& Close[0] > Position.AvgPrice + 12 * TickSize)
{
SetStopLoss(CalculationMode.Price, KAMA(2, 10, 30)[0] - 1 * TickSize);
}

[NinjaTrader_ChelseaB]

Hello brucelevy,

Looking at the provided code (I cannot say wether or not the issue is with code that was not included) the following could be exiting your order:

if(Position.MarketPosition == MarketPosition.Long 
&& CrossBelow(LinReg(14), KAMA(2, 10, 30), 1))
{
ExitLong("", "L1");
}

Try a print to see if this is the order causing the exit.

if(Position.MarketPosition == MarketPosition.Long 
&& CrossBelow(LinReg(14), KAMA(2, 10, 30), 1))
{
Print(Time[0]+" | exiting order")
ExitLong("", "L1");
}

Do you see this print appear at the time the order is closed?

[brucelevy]

It just says exiting order continuously..


9/25/2015 10:52:40 AM | exiting order L2
9/25/2015 10:52:40 AM | exiting order L3
9/25/2015 10:52:40 AM | exiting order L4
9/25/2015 10:52:40 AM | exiting order S2
9/25/2015 10:52:40 AM | exiting order S4
9/25/2015 10:52:40 AM | exiting order S5
9/25/2015 10:53:07 AM | exiting order L2
9/25/2015 10:53:07 AM | exiting order L3
9/25/2015 10:53:07 AM | exiting order L4
9/25/2015 10:53:07 AM | exiting order S2
9/25/2015 10:53:07 AM | exiting order S4
9/25/2015 10:53:07 AM | exiting order S5
9/25/2015 10:53:17 AM | exiting order L2
9/25/2015 10:53:17 AM | exiting order L3
9/25/2015 10:53:17 AM | exiting order L4
9/25/2015 10:53:17 AM | exiting order S2
9/25/2015 10:53:17 AM | exiting order S4
9/25/2015 10:53:17 AM | exiting order S5

[brucelevy]

Can you look over the script if I send it to you?

[brucelevy]

Is this correct where it says if market position is short AND Ling Reg cross above KAMA exit short?
It should exit the short position if the linreg crosses above the kama...

if (Position.MarketPosition == MarketPosition.Short
&& CrossAbove(LinReg(14), KAMA(2, 10, 30), 1))
{
ExitShort("", "S1");
Print(Time[0]+" | exiting order S1");


}

[brucelevy]

Here is what I have for an ES long position that went off and immediately closed out at breakeven
Output window:

9/25/2015 11:15:00 AMLong Entry L2Flat
9/25/2015 11:15:00 AM | exiting order L2

Log:

https://i.gyazo.com/666757ce010451eff02974e946dcbf59.png

Executions page:

https://gyazo.com/c6be94cd853061e0d40eaa4ad8e3b01d

[brucelevy]

It tried to go short and said I cant put a buy stop limit below the market... I dont know why its trying to put stop losses below the sell when the code doesnt say to do that..