Orders canceled before getting filled

[coolmoss]

Hi,

I'm just starting to run strategy (my first strategy) live on IB paper acct. On historical data, the strategy does what it's supposed to 99.99%.

On live data, I have no clue what's going on. The strategy is end of bar, if I get a signal to go long, I submit a Buy Stop just above current price. I see the orders showing up in the TWS api tab, they're there for a second or two, and then they just disappear.

This happens over and over, no position ever being entered. Where do I even start to try and sort this out?

EDIT: I should have mentioned that I see nothing in the NT log tab about cancelations or errors.

[NinjaTrader_RyanM1]

Hi coolmoss,

What does the TraceOrders output say about these orders? See this page below for more information on enabling and using TraceOrders:

http://www.ninjatrader.com/support/forum/showthread.php?t=3627

[coolmoss]

Got so worked up I forgot output the trace thing, LOL. I pasted in an example below (sorry for wacky formatting, don't know best way to put output.txt in a post). This instantly showed my that my placed order is being canceled by BarsInProgress ==1. The thing is, the part of the code related to BarsInProgress ==1 executes only when not flat. These cancellations are occurring when position is flat (haven't even had a single fill).

Thanks much for your help.

3/19/2012 9:46:44 AM Entered internal SetStopTarget() method: Type=Stop FromEntrySignal='' Mode=Price Value=110.24 Currency=0 Simulated=False
3/19/2012 9:46:44 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='FIRSTTARGET' Mode=Ticks Value=30 Currency=0 Simulated=False
3/19/2012 9:46:44 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='SECONDTARGET' Mode=Ticks Value=60 Currency=0 Simulated=False
3/19/2012 9:46:44 AM Entered internal SetStopTarget() method: Type=Target FromEntrySignal='THIRDTARGET' Mode=Ticks Value=30 Currency=0 Simulated=False
3/19/2012 9:46:44 AM Entered internal PlaceOrder() method at 3/19/2012 9:46:44 AM: BarsInProgress=0 Action=Buy OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=110.59 SignalName='FIRSTTARGET' FromEntrySignal=''
3/19/2012 9:46:44 AM Entered internal PlaceOrder() method at 3/19/2012 9:46:44 AM: BarsInProgress=0 Action=Buy OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=110.59 SignalName='SECONDTARGET' FromEntrySignal=''
3/19/2012 9:46:44 AM Entered internal PlaceOrder() method at 3/19/2012 9:46:44 AM: BarsInProgress=0 Action=Buy OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=110.59 SignalName='THIRDTARGET' FromEntrySignal=''
3/19/2012 9:46:44 AM Entered internal PlaceOrder() method at 3/19/2012 9:46:44 AM: BarsInProgress=0 Action=Buy OrderType=Stop Quantity=1 LimitPrice=0 StopPrice=110.59 SignalName='RUNNER' FromEntrySignal=''
3/19/2012 9:46:44 AM Cancelled expired order: BarsInProgress=1: Order='b333bed8eae247688329d002d4d6c113/DU131303' Name='FIRSTTARGET' State=PendingSubmit Instrument='FAS' Action=Buy Limit price=0 Stop price=110.59 Quantity=1 Strategy='jugKCI2012march16' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='8713b3e6d24d4b8192376b4af55adaad' Gtd='12/1/2099 12:00:00 AM'
3/19/2012 9:46:44 AM Cancelled expired order: BarsInProgress=1: Order='3c25d61dc4834277919a3cbc3c82deb8/DU131303' Name='SECONDTARGET' State=PendingSubmit Instrument='FAS' Action=Buy Limit price=0 Stop price=110.59 Quantity=1 Strategy='jugKCI2012march16' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='c58e864ce7f94047839a8bd4a06360fb' Gtd='12/1/2099 12:00:00 AM'
3/19/2012 9:46:44 AM Cancelled expired order: BarsInProgress=1: Order='5a886525c90f4203a54b2f431ac26929/DU131303' Name='THIRDTARGET' State=PendingSubmit Instrument='FAS' Action=Buy Limit price=0 Stop price=110.59 Quantity=1 Strategy='jugKCI2012march16' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='ac77b44f0466455a847bdeb9150af556' Gtd='12/1/2099 12:00:00 AM'
3/19/2012 9:46:44 AM Cancelled expired order: BarsInProgress=1: Order='b2a7ce2fccaa4a898fa81f288f63a2c8/DU131303' Name='RUNNER' State=PendingSubmit Instrument='FAS' Action=Buy Limit price=0 Stop price=110.59 Quantity=1 Strategy='jugKCI2012march16' Type=Stop Tif=Gtc Oco='' Filled=0 Fill price=0 Token='17d54bba74af4292be36c871fccfa736' Gtd='12/1/2099 12:00:00 AM'

[NinjaTrader_RyanM1]

It looks like it's cancelling due to auto expiration. Be default orders are cancelled if they're not filled on the bar they're submitted to. In Multiseries scripts, autoexpiration will be triggered by the next OnBarUpdate() received for any series.

The orders will persist more than one bar if the conditions remain true for the order, or you use the advanced overloads with liveUntilCancelled = true. This sample can help submit these orders:

http://www.ninjatrader.com/support/forum/showthread.php?t=19169

3/19/2012 9:46:44 AM Cancelled expired order: BarsInProgress=1:

[coolmoss]

Oh fudge. Just to make sure I understand: it's not just one bar of the primary series, but if a secondary series is faster (like in this case) the close of the next secondary series bar will effect the cancellation?

If so, then I get that part. When these cancellations are coming in, it's outside the block of code actually referencing the secondary series. Would these cancellations occur regardless of when/where BarsInProggress==1 is in the code, just the fact that the secondary series is present will effect the cancellation?

[NinjaTrader_RyanM1]

Yes, you have that right. I will edit previous posts to clarify this in multiseries strategies.

Autoexpirations will be triggered by the next OnBarUpdate(), so any series. Best will be to set these up as liveUntilCancelled, and handle the Cancelling manually with CancelOrder().

http://www.ninjatrader.com/support/forum/showthread.php?t=18890

[coolmoss]

I've studied the available sample code, which does make at least some use of onOrderUpdate and onExecution. As of this point, I've avoided using IOrder stuff because I don't quite get it yet.

I'm currently using Stop orders for entry on my primary data series (the second series is only to deal with reversal signals) and using Set statements for stop loss and target orders.

Is it possible to use the overload for setting liveUntilCancelled on my entry orders WITHOUT using IOrder objects (thus letting me continue to use Set statements)? My guess is that's not possible, but just looking for the easiest way out of the quagmire I've gotten myself into, LOL.

[NinjaTrader_RyanM1]

Is it possible to use the overload for setting liveUntilCancelled on my entry orders WITHOUT using IOrder objects (thus letting me continue to use Set statements)?

Yes, liveUntilCancelled is possible without IOrder. If you need to use CancelOrder() manually on these at some point, it will require IOrder. There's no other way to reference an order without it.