I'm using the Market Replay connection, and am getting the following issue. I attached a screen capture.
When I open a long or short order, I also set a profit target and a stop loss. I set the profit target and stop loss after getting confirmation that the entershort/enterlong order was filled (e.g., via onOrderUpdate). I leverage Position.AvgPrice to set the profit/stop orders.
I'm currently using 1000 units to enter the order.
Occassionally, the stop loss order will get rejected. This happens when I attempt to set a stop loss above the current price (for a long), or below the current price (for a short). If the rejection happens, it's usually after one or more trades.
The strange thing is that this doesn't happen all the time -- e.g., I have pairs that I'm backtesting with where this never happens. I also check that the stop is right relative to the Close[0] price before I set it.
Unfortunately when the order is rejected, the strategy exits. The following is output in my log file:
**NT** Strategy 'mpUltimateTrend/362797a6599f4a7dbebf5f025bd43922' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.
**NT** Disabling NinjaScript strategy 'mpUltimateTrend/362797a6599f4a7dbebf5f025bd43922'
Here is the code where I set the stop for a short position. It's call in OnOrderUpdate after validating that the position filled. "stopLoss" is a parameter in pips set in the strategy GUI (it's set to -1 if I don't want a stop loss), and "openPositionName" is a global variable set and then used as a parameter to EnterShort or EnterLong:
private void setShortTrailStop()
{
double myStop = 0;
if (stopLoss != -1)
{
myStop = Position.AvgPrice + (stopLoss * TickSize);
if (Close[0] < myStop)
{
SetStopLoss(openPositionName, CalculationMode.Price, myStop, false);
Print(Instrument.FullName + " " + Time[0] + ": Short Stop set to " + myStop);
} else {
Print(Instrument.FullName + " " + Time[0] + ": NOT SET! Attempted stop of " + myStop);
}
}
}
I haven't tested whether this will happen live. I attached a screen capture of three instances where this happened. Also when this happens, I never get the "NOT SET Print" condition printed in my log file -- e.g., the Close[0] check works, and the "Short Stop set" is outputted.
Any thoughts on what may be happening would be appreciated. Thanks in advance.
When I open a long or short order, I also set a profit target and a stop loss. I set the profit target and stop loss after getting confirmation that the entershort/enterlong order was filled (e.g., via onOrderUpdate). I leverage Position.AvgPrice to set the profit/stop orders.
I'm currently using 1000 units to enter the order.
Occassionally, the stop loss order will get rejected. This happens when I attempt to set a stop loss above the current price (for a long), or below the current price (for a short). If the rejection happens, it's usually after one or more trades.
The strange thing is that this doesn't happen all the time -- e.g., I have pairs that I'm backtesting with where this never happens. I also check that the stop is right relative to the Close[0] price before I set it.
Unfortunately when the order is rejected, the strategy exits. The following is output in my log file:
**NT** Strategy 'mpUltimateTrend/362797a6599f4a7dbebf5f025bd43922' submitted an order that generated the following error 'OrderRejected'. Strategy has sent cancel requests, attempted to close the position and terminated itself.
**NT** Disabling NinjaScript strategy 'mpUltimateTrend/362797a6599f4a7dbebf5f025bd43922'
Here is the code where I set the stop for a short position. It's call in OnOrderUpdate after validating that the position filled. "stopLoss" is a parameter in pips set in the strategy GUI (it's set to -1 if I don't want a stop loss), and "openPositionName" is a global variable set and then used as a parameter to EnterShort or EnterLong:
private void setShortTrailStop()
{
double myStop = 0;
if (stopLoss != -1)
{
myStop = Position.AvgPrice + (stopLoss * TickSize);
if (Close[0] < myStop)
{
SetStopLoss(openPositionName, CalculationMode.Price, myStop, false);
Print(Instrument.FullName + " " + Time[0] + ": Short Stop set to " + myStop);
} else {
Print(Instrument.FullName + " " + Time[0] + ": NOT SET! Attempted stop of " + myStop);
}
}
}
I haven't tested whether this will happen live. I attached a screen capture of three instances where this happened. Also when this happens, I never get the "NOT SET Print" condition printed in my log file -- e.g., the Close[0] check works, and the "Short Stop set" is outputted.
Any thoughts on what may be happening would be appreciated. Thanks in advance.
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