Order Cancelled on Reverse

[AAATradingSolutions]

Hi ,
I developped a strategy and tested it during month...

First on backtest to improve his performance , next on real-time but on simulated accound. (During one month)

With the good results I had , I decided last week to make the jump and begin to trade for real...

I had no problem the first two days with the strategy , but on third days I had cancelled orders...

I will just explain a little the strategy.

I trade on Futures , and have 4 different targets.
So for each enter , I create 4 orders and put Stop loss on each one...
The targets are managed by the strategy , I'm not using SetProfitTarget for now.

When a target is reached , I exit one order and modify the stop loss for thoses that stay...

The strategy can close positions but can also Reverse the positions...
And it's on that last case that I have a problem...

It seems it cannot reverse the StopLoss on real account (but it work on simulate account)

I will not show here the whole algorithm... It's my business

But The algorithm calls methods GoLong or GoShort in the OnBarUpdate depeinding of course of the logic.

I attach a code.txt file that contains the GoLong and GoShort method :

And I attach the log with the cancelled orders...

I think the problem comes by the fact that I change the stopLoss values before then EnterLong or EnterShort method...

But has I said , it runs like that on simulated account...
And I'm a little afraid to put the order EnterLong before giving good values to StopLoss
If the program crash between the two... I have order on the market without stopLoss...

Can you please explain me the best way to do that on real account ?

Thanks

[NinjaTrader_Bertrand]

Trumumflu, I see those rejections here in the log posted -

6/3/2010 9:00:00 AM|1|32|Order='17113811/73679683!RCG!Mirus' Name='Stop loss' New State=Accepted Instrument='GC 08-10' Action=Sell Limit price=0 Stop price=1215.3 Quantity=1 Type=Stop Filled=0 Fill price=0 Error=UnableToChangeOrder Native error='Trigger price must be < last price or last day price'
6/3/2010 9:00:00 AM|0|32|Trigger price must be < last price or last day price Affected Order: Sell 1 Stop @ 1215.3

This would mean before submitting the stop at your price x, you should check for it to be a valid stop order, this should also include the inside market (bid, ask - in backtesting you might have checked against the last price only).