Order placed below the market

[SMuhr]

Good morning,

I woul like to set a StopLoss 6 tick below my entry price.

So I add to my strategy :

[FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]
SetStopLoss([/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]""[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2],CalculationMode.Ticks,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080][FONT=Courier New][SIZE=2][COLOR=#800080]6[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2],[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff][FONT=Courier New][SIZE=2][COLOR=#0000ff]false[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
[/SIZE][/FONT][/SIZE][/FONT]

But I have the following error : "Buy stop or buy stop limit orders can't be placed below the market. affected Order : BuyToCover 1 Stop @ 5986.5"

How can I avoid this ? Because it happend after 9 trades.

Regards,
S

[NinjaTrader_Bertrand]

SMuhr, are you adding this in the Initialize() of your strategy?

[SMuhr]

SMuhr, are you adding this in the Initialize() of your strategy?

Yes

Thank you for your help

[NinjaTrader_Bertrand]

Ok, with which order type are you entering then? Do you check those off against the inside market before submitting them for execution?

[SMuhr]

I am enterring like this :

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EnterLong(2,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]""[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);[/SIZE][/FONT][/SIZE][/FONT]
[FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]EnterShort(2,[/SIZE][/FONT][/SIZE][/FONT][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000][FONT=Courier New][SIZE=2][COLOR=#800000]""[/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][/COLOR][/SIZE][/FONT][FONT=Courier New][SIZE=2][FONT=Courier New][SIZE=2]);
[/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT][/SIZE][/FONT]

[NinjaTrader_Bertrand]

SMuhr, thanks - do you change your StopPrice dynamically in the OnBarUpdate() part? Then you would need to reset the stop value when you're flat like in our PriceModification sample, otherwise you can submit at old stop price values which may have become invalid in the meantime...

http://www.ninjatrader.com/support/forum/showthread.php?t=3222

[SMuhr]

Well done !

Thx !

[SMuhr]

In fact, I still have the problem...
It happens only once on 7 days... (FDAX 09-10 ---> around 2pm (GMT+1 Paris)

Any idea why ?
Thx

[NinjaTrader_Bertrand]

SMuhr, I would then suggest checking into with TraceOrders what is exactly happening at this time prompting for the error to show up - http://www.ninjatrader.com/support/f...ead.php?t=3627

[SMuhr]

Here is the output :

01/09/2010 14:15:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Ticks Value=3 Currency=0 Simulated=False
01/09/2010 14:15:00 Entered internal PlaceOrder() method at 01/09/2010 14:15:00: BarsInProgress=0 Action=SellShort OrderType=Market Quantity=5 LimitPrice=0 StopPrice=0 SignalName='Entry' FromEntrySignal=''
01/09/2010 14:15:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Ticks Value=3 Currency=0 Simulated=False
01/09/2010 14:15:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Ticks Value=3 Currency=0 Simulated=False
01/09/2010 14:15:00 Entered internal PlaceOrder() method at 01/09/2010 14:15:00: BarsInProgress=0 Action=SellShort OrderType=Market Quantity=5 LimitPrice=0 StopPrice=0 SignalName='Entry' FromEntrySignal=''
01/09/2010 14:15:00 Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Ticks Value=3 Currency=0 Simulated=False
**NT** Strategy 'MarketdeltaUHF/7cb1c2a91f8148fd8697dd25aa708331' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.
01/09/2010 14:15:00 CancelAllOrders: BarsInProgress=0
01/09/2010 14:15:00 Entered internal PlaceOrder() method at 01/09/2010 14:15:00: BarsInProgress=0 Action=BuyToCover OrderType=Market Quantity=5 LimitPrice=0 StopPrice=0 SignalName='Close' FromEntrySignal=''
01/09/2010 14:15:00 Disable() called: strategy disabled
01/09/2010 14:15:00 CancelAllOrders: BarsInProgress=0
**NT** Disabling NinjaScript strategy 'MarketdeltaUHF/7cb1c2a91f8148fd8697dd25aa708331'

Do you have an idea?

Thanks

[NinjaTrader_Bertrand]

SMuhr, the stop is probably just to close to the market (3 Ticks) - do you see the same error with a larger one?

[SMuhr]

It work if I use a stop loss of 15 tick....
Why ? It s to big

SOme time it work with 3

[SMuhr]

The problem is that at 14:14:59 the price is 5997.5 and 1 sec after at 14:15:00 the price is at 5983.5.

That is why I have an error with the StopLoss.

Is there a work arround for this ?

regards,
S

[NinjaTrader_JoshP]

SMuhr,

Unfortunately there is no workaround as that is simply what the data is. Your data is spiking down and as such the stop loss you are trying to place becomes invalid and is rejected. The only "workaround" is to submit stop losses in your code that are far enough and early enough to not have this occur, but in reality the market can always spike large amounts to make your stop invalid.