Stop was hit but position was not closed

[michelle99]

Hi there,

I place orders on Ninja Trader via an atm. These orders are then routed to TWS Desktop (Interactive Brokers). I have phoned IB and they have told me that in no way will they ever change the order type of orders received from Ninja Trader and that I need to get in touch with Ninja Trader.

MY PROBLEM:

1. I shorted 6 contracts on NQ futures market this morning using my ATM strategy (see screenshot attached)
2. *Very* shortly there after price touched my stop
3. Instead of closing me out of the trade, where I should have heard "stop filled" I instead heard "order cancelled"
4. I was then left in a trade which was rapidly moving against me without a stop
5. The exact same thing happened to me on the TF futures contract yesterday
6. Please see the actual recording of this happening on the NQ here:
   

   https://youtu.be/AV6G5ei4tZ0?t=4m

   
   (just watch it from 4 minutes into the video for about one minute - please ignore the voice over)

Question 1:
Could anyone please explain to me why my order got cancelled, is this a NT glitch?

I've also attached a screenshot of my NT and IB orders... I've just noticed that in IB it says "Cancelled by System: The stop trigger price is too low relative to the current market price".
Question 2:
Is it normal behaviour for NT to cancel a stop order all together if you accidentally place it too low relative to the current market?


Thank-you,
Michelle

[NinjaTrader_Kyle]

Hello Michelle,

Thank you for your post.

So that I can look in to this further I would like to review your order log. Please contact me by email at PlatformSupport [AT] NinjaTrader [DOT] com. In the message please include a link to this forum thread as well as the log file.
The order log is found in the Documents > NinjaTrader 7 > Log folder. I will need a copy of the file named 'log.20160120.txt'.

[michelle99]

Hi Kyle,

Thank-you for your help and previous email where you confirmed:

Hello Michelle,

Based on what I see in these diagnostic files the cancellation of these orders originated outside of NinjaTrader.

Sincerely,
Kyle
NinjaTrader Customer Service

I have indeed contacted contact IB who has confirmed what happened:

Dear Michelle Pace,

The Modified Stop price got the Reject message " Stop trigger price is too low ". You can view the Globex's Stop order and Price Banding information at the links below. You Modified the Stop price to 4005.75 and there were trades at 4005.75 at that time (Trigger Method : Default(Last)). When the Modified order was sent to the Globex it was with an elected stop price and the Globex will not accept the order. You can cancel and replace with a MKT order if you want a fill at that time.

--Globex Price Banding general information LINK../GCC+Price+Banding
--also to find the CME Globex Reference Sheet for Stop order price offset Info LINK../GCC+Products+Resources ... Then click on “globex product reference. Xls”

When you Modify a Price IB actually cancels to old order and sends a new order with the modified price. The links I sent to you are what the CME does to try and avoid accepting an order that will disrupt the market. Stop order with incorrect prices are rejected by the CME as they see a Stop order entered with a Stop price that is already triggered as a mistake.

Likewise the Nybot exchange has Reasonability Limits just like the CME's Price Banding. Also, IB uses Price Capping of simulated orders. All of these are designed to try and stop an erroneous order from being entered that may disrupt the market place.

Jim
Trade Group

[michelle99]

My next question then... is if I can change the STOP from a "Stop Limit" order type to a "Stop" order type. But I will post a new thread. Thanks again Kyle.

[NinjaTrader_Kyle]

Hello Michelle,

To ensure that ATM Strategies use Stop orders for Stop Losses, please right click in the window where you are submitting your orders and select Properties. In the Properties menu set the 'Use Stop Market for Stop Loss Orders' property to True then click OK.