UnableToSubmitOrder - Too far from market price?

[siroki]

Hi,

I'm runnning this automated strategy. Recently some orders didnt get filled and returned an error message. Maybe somebody can clarify this?

8/13/2014 3:00:03 PM Order FXCM, Order rejected: Order price too far from market price :95.262 vs 95.266 affected Order: SellShort 10000 Limit @ 95.27

8/13/2014 3:00:03 PM Strategy Strategy 'TestStrategy/44b662704daa468e8b66c14d6f9f1933' submitted an order that generated the following error 'UnableToSubmitOrder'. Strategy has sent cancel requests, attempted to close the position and terminated itself.

I'm basically running an EnterLongLimit and EnterShortLimit order based on a last bar close price.

[NinjaTrader_Bertrand]

Hi siroki, which instrument on FXCM would you trade here exactly? Which NT7 build do you use in the setup? Does this occur as well if you try placing a manual limit order off the market about the same price distance away? It would be good if we could review the full log / trace files for the incident, could you please submit those in via Help > Mail to Support in reference to this thread in the subject? Thanks

[siroki]

Hello Bertrand,

This related to a AUDJPY short sell at 15:00 today for a price of 94.27. I am running NT 7.0.1000.23 (Multi-Broker Live).

I haven't tried placing the order manually at limit with about the same distance. Executing the order at market went fine ofcourse.

Would you recommend using the GetCurrentBid/GetCurrentAsk and maybe apply a certain offset to that price to enter limit orders in stead of the previous candle close?

[siroki]

Bertrand,

I've just send the trace and log files.

Another issue occurred last night at 03:00 am. Maybe you can also look at that one.

**NT** An Enter() method to submit an entry order at '8/14/2014 3:00:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

This one was for the EURNZD pair. It closed a position and tried to open the position at the same OnBarUpdate moment. Is this a problem?

[NinjaTrader_Bertrand]

Bertrand,

I've just send the trace and log files.

Another issue occurred last night at 03:00 am. Maybe you can also look at that one.

**NT** An Enter() method to submit an entry order at '8/14/2014 3:00:00 AM' has been ignored. Please search on the term 'Internal Order Handling Rules' in the Help Guide for detailed explanation.

This one was for the EURNZD pair. It closed a position and tried to open the position at the same OnBarUpdate moment. Is this a problem?

Thanks got the files and will review.

Yes working with limit orders that setup would be an issue in the managed mode, as you would easily end of getting ignored orders due to the internal order handling rules at work under the hood.

You could review them in detail here at the bottom - https://www.ninjatrader.com/support/...d_approach.htm

[siroki]

Ok so basically I cannot have an ExitLongLimit and a new EnterShortLimit in one statement. How would you advice that I exit a position and immediate reverse the position? Which is basically what I'm trying to accomplish.

[NinjaTrader_Bertrand]

Correct, you can't have those two 'racing' orders in managed mode. What you could do is monitor OnExecution for example for when you exit reports filled state and only then issue the new enter order. This way you don't have competing orders working at the same time in the same direction.

[siroki]

Would I be able to reverse the position by entering an order in the opposite direction with double the size? If so, what happens to the existing long order? Does it get eliminated by the new short order of the double size?

[NinjaTrader_Bertrand]

You could do that, but you would still run into the order handling rules as you would still have competing orders here, changing the qty would not not matter in this context. This would be different in unmanaged mode where those order handling rules not exist.