1 in 50 trades, it will crash because of an illegal stop order (sell stop high above mkt)...
Upon a long fill, it will usually submit the target and stoploss, OCO, no problems.
But here, at 9:56, it submits the long order, gets a long fill at 0.1227 (0.12270)
It should have target .12276 (which it does), and stop .12264
But it submits a stop loss sell at 12303, that is 33 ticks above my entry, rather than 6 ticks below
This crashes the strategy.
What could be causing that? It only happens 1/50 trades
excerpt from my output log .. it tells me entry will be long at 0.01227
the target and stops are 6 ticks, so 0.012276 target
4/29 9:56:33 j0421 r3 3.51 [6J] Entry signals: ftz2 L
4/29 9:56:33 j0421 r3 3.51 [6J] previous LONG Stop = 0 new Stop = 0.012264
4/29/2011 9:56:33 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='.' Mode=Price Value=0.012264 Currency=0 Simulated=False
4/29/2011 9:56:33 AM Entered internal PlaceOrder() method at 4/29/2011 9:56:33 AM: BarsInProgress=0 Action=Buy OrderType=Limit Quantity=1 LimitPrice=0.012270 StopPrice=0 SignalName='ftz2L' FromEntrySignal=''
4/29 9:56:33 j0421 r3 3.51 [6J] targetExit=6 maxStopLoss=6 longTarget=0.012276 estStop=0.012264
4/29 9:56:33 j0421 r3 3.51 [6J] SETUP LONG ftz2L 0.01227 05/05/be-1@4
4/29 9:56:33 j0421 r3 3.51 [6J] OnOrderUpdate: Order='b7a944e18a25490da8d43dadec7a28d5/Replay101' Name='ftz2L' State=PendingSubmit Instrument='6J 06-11' Action=Buy Limit price=0.01227 Stop price=0 Quantity=1 Type=Limit Tif=Day OverFill=False Oco='' Filled=0 Fill price=0 Token='b7a944e18a25490da8d43dadec7a28d5' Gtd='1/1/0001 12:00:00 AM'
4/29 9:56:33 j0421 r3 3.51 [6J] OnOrderUpdate: Order='b7a944e18a25490da8d43dadec7a28d5/Replay101' Name='ftz2L' State=Accepted Instrument='6J 06-11' Action=Buy Limit price=0.01227 Stop price=0 Quantity=1 Type=Limit Tif=Day OverFill=False Oco='' Filled=0 Fill price=0 Token='b7a944e18a25490da8d43dadec7a28d5' Gtd='1/1/0001 12:00:00 AM'
4/29 9:56:33 j0421 r3 3.51 [6J] OnOrderUpdate: Order='b7a944e18a25490da8d43dadec7a28d5/Replay101' Name='ftz2L' State=Working Instrument='6J 06-11' Action=Buy Limit price=0.01227 Stop price=0 Quantity=1 Type=Limit Tif=Day OverFill=False Oco='' Filled=0 Fill price=0 Token='b7a944e18a25490da8d43dadec7a28d5' Gtd='1/1/0001 12:00:00 AM'
Yet from trace, right after the entry fill, it says the stop price will be higher than entry price
...Instrument='6J 06-11' Action=Sell Limit price=0 Stop price=0.012303 Quantity=1 Type=Stop
see attachment for rest of trace output
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