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Order get canceled as soon as have a position

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    #1

    Order get canceled as soon as have a position

    I build a quoting strategy that will always have orders in the market accept when the max long/short position is reached, it won't quote bid/offers. The strategy starts fine up as soon as it get a position, every new order I place, regardless of side keeps getting canceled. I only cancel when maxsize is reached and it isn't. I even added a logging message to be sure that I'm not entering that function by mistake and I'm not.

    As soon as the orders enter they get canceled for some reason.

    Here is the log file:
    3/20/2013 2:51:23 AM|1|16|Execution='b913d0c56a714680a44914ed355a153 3' Instrument='NQ 06-13' Account='Sim101' Exchange=Default Price=2793.25 Quantity=1 Market position=Long Operation=Insert Order='d95f3ac38db747fea0acdd3e6ad34d11' Time='3/20/2013 2:51:23 AM'
    3/20/2013 2:51:23 AM|1|64|Instrument='NQ 06-13' Account='Sim101' Avg price=2793.25 Quantity=1 Market position=Long Operation=Insert Currency=Unknown
    3/20/2013 2:51:23 AM|1|32|Order='c4f1f8516c164300960c445e537da3d9/Sim101' Name='enter buy' New state=PendingSubmit Instrument='NQ 06-13' Action=Buy Limit price=2793.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:24 AM|1|32|Order='710f416369524dc0af6b16cc097ed4e0/Sim101' Name='enter sell' New state=Cancelled Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:25 AM|1|32|Order='c92d4bae4b8f450f83f026baf6012509/Sim101' Name='take profit sell' New state=PendingSubmit Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:25 AM|1|32|Order='c4f1f8516c164300960c445e537da3d9/Sim101' Name='enter buy' New state=Accepted Instrument='NQ 06-13' Action=Buy Limit price=2793.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:25 AM|1|32|Order='c4f1f8516c164300960c445e537da3d9/Sim101' Name='enter buy' New state=Working Instrument='NQ 06-13' Action=Buy Limit price=2793.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:25 AM|1|32|Order='c4f1f8516c164300960c445e537da3d9/Sim101' Name='enter buy' New state=PendingCancel Instrument='NQ 06-13' Action=Buy Limit price=2793.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:26 AM|1|32|Order='c92d4bae4b8f450f83f026baf6012509/Sim101' Name='take profit sell' New state=Accepted Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:26 AM|1|32|Order='c92d4bae4b8f450f83f026baf6012509/Sim101' Name='take profit sell' New state=Working Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:26 AM|1|32|Order='c92d4bae4b8f450f83f026baf6012509/Sim101' Name='take profit sell' New state=PendingCancel Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:26 AM|1|32|Order='c4f1f8516c164300960c445e537da3d9/Sim101' Name='enter buy' New state=PendingCancel Instrument='NQ 06-13' Action=Buy Limit price=2793.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:27 AM|1|32|Order='c4f1f8516c164300960c445e537da3d9/Sim101' Name='enter buy' New state=Cancelled Instrument='NQ 06-13' Action=Buy Limit price=2793.25 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:27 AM|1|32|Order='0c9f8e7703114ef2a172e0ac95913e87/Sim101' Name='enter buy' New state=PendingSubmit Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:27 AM|1|32|Order='c92d4bae4b8f450f83f026baf6012509/Sim101' Name='take profit sell' New state=Cancelled Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:28 AM|1|32|Order='db430dd1b1e849eb8a475b04bcfdb4a4/Sim101' Name='take profit sell' New state=PendingSubmit Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:28 AM|1|32|Order='0c9f8e7703114ef2a172e0ac95913e87/Sim101' Name='enter buy' New state=Accepted Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:28 AM|1|32|Order='0c9f8e7703114ef2a172e0ac95913e87/Sim101' Name='enter buy' New state=Working Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:28 AM|1|32|Order='0c9f8e7703114ef2a172e0ac95913e87/Sim101' Name='enter buy' New state=PendingCancel Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:29 AM|1|32|Order='db430dd1b1e849eb8a475b04bcfdb4a4/Sim101' Name='take profit sell' New state=Accepted Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:29 AM|1|32|Order='db430dd1b1e849eb8a475b04bcfdb4a4/Sim101' Name='take profit sell' New state=Working Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:29 AM|1|32|Order='db430dd1b1e849eb8a475b04bcfdb4a4/Sim101' Name='take profit sell' New state=PendingCancel Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:29 AM|1|32|Order='0c9f8e7703114ef2a172e0ac95913e87/Sim101' Name='enter buy' New state=PendingCancel Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:30 AM|1|32|Order='0c9f8e7703114ef2a172e0ac95913e87/Sim101' Name='enter buy' New state=Cancelled Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:30 AM|1|32|Order='0769698960324450bccf2015c85a227f/Sim101' Name='enter buy' New state=PendingSubmit Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:31 AM|1|32|Order='db430dd1b1e849eb8a475b04bcfdb4a4/Sim101' Name='take profit sell' New state=Cancelled Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:31 AM|1|32|Order='a0105a996b334897b7e5b87889254658/Sim101' Name='take profit sell' New state=PendingSubmit Instrument='NQ 06-13' Action=Sell Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:31 AM|1|32|Order='0769698960324450bccf2015c85a227f/Sim101' Name='enter buy' New state=Accepted Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
    3/20/2013 2:51:31 AM|1|32|Order='0769698960324450bccf2015c85a227f/Sim101' Name='enter buy' New state=Working Instrument='NQ 06-13' Action=Buy Limit price=2793.5 Stop price=0 Quantity=1 Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''



    If you need anymore information from me, please let me know. I can post source as well.

    Mark
    Tags: None
    #2
    Welcome to our forums - I would suggest you run the script with TraceOrders enabled to get more order debug info shown in the output window - http://www.ninjatrader.com/support/f...ead.php?t=3627
    BertrandNinjaTrader Customer Service

    Comment

      #3
      Bertrand,

      I used that and was able to figure it out right away.

      Thanks!

      Mark

      Comment

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