I'm really reaching in the dark here, just hoping someone can give me a clue that gives me ideas what to look at.
I have a complicated strategy which breaks down to this very simple behavior (in this case):
- primary bar is 30m, and not really relevant.
- on the last 5m historical bar (before "live" execution begins), I put in a Limit order.
- I note that the limit order does indeed go live (and everything looks normal from TraceOrder point of view).
- on the first LIVE 5m bar, I attempt to cancel this order. TraceOrders suggests I'm doing it right:
Cancelled custom managed order at 10/19/2010 3:22:08 PM: Order='NT-00000/Sim101' Name='ES 12-10|0|LN 9' State=Working Instrument='ES 12-10' Action=Buy Limit price=1155 Stop price=0 Quantity=1 Strategy='ProtectDownMulti' Type=Limit Tif=Day Oco='' Filled=0 Fill price=0 Token='e2477ed214e443e99a4b0dd358054617' Gtd='12/1/2099 12:00:00 AM'
If this code is changed so that the first order isn't placed on a historical bar, but rather only from a live bar... then there are no problems. The cancel works perfectly.
I've tried to put together a small toy strategy to test this behavior, but frustratingly... it's working perfectly! Any other suggestions at things to consider?
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