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Unexpected cancellation of stoploss orders, why?

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    Unexpected cancellation of stoploss orders, why?

    This is live trading, so you must imagine that is driving me nuts.

    Trading on ES futures, it opened a Long position, then immediately it's programmed to open accordingly the contrary Stoplimit order as an stoploss, but unexpectedly that order didn't even get the "working state", it is canceled well before. Below the log you can see it:

    10/24/2018 4:31:06 AM|1|16|Execution='ES 12-18/0000fe5f.5bcfb2ef.01.01' Instrument='ES 12-18' Account='xxxxx' Exchange=Globex Price=2724.75 Quantity=1 Market position=Long Operation=Insert Order='1849658446' Time='10/24/2018 4:31:06 AM'

    10/24/2018 4:31:07 AM|1|64|Instrument='ES 12-18' Account='xxxxxx' Avg price=2724.791 Quantity=1 Market position=Long Operation=Insert Currency=UsDollar

    10/24/2018 4:31:07 AM|1|32|Order='fe2cadebb3c94ce08e6e7c7b28d368b8/U2516906' Name='LONG STOPLOSS' New state=PendingSubmit Instrument='ES 12-18' Action=Sell Limit price=2689.75 Stop price=2702.25 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''

    10/24/2018 4:31:07 AM|1|32|Order='1849658447/U2516906' Name='LONG STOPLOSS' New state=Cancelled Instrument='ES 12-18' Action=Sell Limit price=2689.75 Stop price=2702.25 Quantity=1 Type=StopLimit Filled=0 Fill price=0 Error=NoError Native error=''



    The code worked always fine with other instruments, so I'm digging for the causes. In your experience could it be something related to IB-TWS settings ? if I have in the TWS to submit orders without any other order attached when manually operated, will it replicate the same working from an automated trading system through the API ?


    Thanks
    Last edited by pstrusi; 10-24-2018, 05:50 AM.

    #2

    What version of NinjaTrader are you using? Please provide the entire version number. This can be found under Help -> About (Example: 7.0.1000.X or 8.0.X.X)

    What version of TWS are you using?

    From the excepts you've included, there is no obvious reason why the order was cancelled. Have you contacted Interactive Brokers to find out if they have any insight as to why this order was cancelled? If not, please do so now and let me know what they report. I am most suspicious of the 12.5 point/50 tick gap between your stop price and limit price of your stop loss order, however, if this were the reason I would also expect a meaningful message to appear as an error in the log.
    Patrick G.NinjaTrader Customer Service

    Comment


      #3
      7.0.1000.39 TWS 960.2g

      The stops price actually are pretty far. I've already wrote to IB, waiting for answer.

      Thanks

      Comment

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