Order X can't be submitted: The OCO ID X cannot be reused. Please use a new OCO ID

[login_dejavu]

Hi guys,

I have following error during Playback/Replay which throws few Alert messages and strategy disabled after that. For sure I do not run into issue of NON-unique IDs (you can see in code).

I tried to prepare/isolate as much as I could to help you to reproduce the issue on your side:


Here is what I'm attaching:
1) log file
2) strategy code(which has minimum code to reproduce the issue)
3) screen with settings of strategy
4) replay file (since blog has limits to extension/sizes/number of uploads, don't know how to upload 37 MB) (\db\replay\CL 03-19\20190213.nrd)
I uploaded it to filebin: https://filebin.net/szwvb2n29ra7jz4i
5) screen settings of replay controller

Please let me know if anything else I can provide to help you to reproduce this?

using System.Collections.Generic;

namespace NinjaTrader.NinjaScript.Strategies
{
    public class PL1ForNTForumStrategy : Strategy
    {
        private Dictionary<int, string> longTradesDict;
        private Dictionary<int, string> shortTradesDict;

        protected override void OnStateChange()
        {
            if (State == State.SetDefaults)
            {
                Name = "PL1ForNTForumStrategy";
                Calculate = Calculate.OnEachTick;
            }
            else if (State == State.Configure)
            {
                SetStopLoss(CalculationMode.Ticks, 10);
                SetProfitTarget(CalculationMode.Ticks, 10);

                longTradesDict = new Dictionary<int, string>
                {
                    { 1776, "LONG_BID_5355_2BDZdAn+UkOj3Cm6/YhEIA" },
                    { 2252, "LONG_BID_5332_lQPS6wRoAUuQrkP8QPG3dg" },
                };

                shortTradesDict = new Dictionary<int, string>
                {
                    { 2270, "SHORT_ASK_5350_Q1ykteoKSEy43CLnYjvLyw" },
                    { 2277, "SHORT_ASK_5360_LOW5K7DwGE6636G6O/UjyQ" },
                    { 2278, "SHORT_ASK_5362_24OJhmysJkiFaICg6sv72Q" },
                    { 2312, "SHORT_ASK_5385_oOE3vr4zVUmHDMMXc8Iw2A" },
                    { 2313, "SHORT_ASK_5390_r86tcxxAi0qSx7pjhKpzig" },
                    { 2316, "SHORT_ASK_5400_z1fv93n/s0KgRVEUYMyYLg" },
                };
            }
        }

        protected override void OnBarUpdate()
        {
            if (longTradesDict.ContainsKey(CurrentBar))
                EnterLong(longTradesDict[CurrentBar]);
            else if (shortTradesDict.ContainsKey(CurrentBar))
                EnterShort(shortTradesDict[CurrentBar]);
        }
    }
} 

[NinjaTrader_Jim]

Hello login_dejavu,

Thanks for your message.

I suggest emailing us at platformsupport [at] ninjatrader [dot] com regarding specifics with order rejections. We will often want to see the log and trace files. While you have posted them here and I was able to check, there is some personal information that can be found from the log files which you do not want to share publicly. I have removed the log file from your post.

The OCO error occurs on the profit target's submission. This happens because the Profit Target is OCO tied with the Stop Loss and the Stop Loss has already received a rejection. You can consider the following which occurs:

1. Set methods prep NinjaTrader to submit target and stop when the entry order comes back as filled.
2. The Stop loss gets submitted first and gets rejected for being submitted to the other side of the market. This can happen in regular scenarios when there is higher volatility.
3. The Profit Target is then placed, and since the Stop Loss was already rejected and the two are tied with OCO, the ODO ID is now invalid and the Profit Target gets the mentioned rejection.

To prevent the strategy from being deactivated, you can set the strategy's RealtimeErrorHandling property to IgnoreAllErrors or StopCancelCloseIgnoreRejects. With this property set, you can then trap order rejections in OnOrderUpdate if you would like to have the strategy attempt a different action.

RealtimeErrorHandling - https://ninjatrader.com/support/help...orhandling.htm

OnOrderUpdate() - https://ninjatrader.com/support/help...rderupdate.htm

The example snippet below shows how a rejection can be trapped for a Stop loss order which would be submitted with SetStopLoss.

protected override void OnOrderUpdate(Cbi.Order order, double limitPrice, double stopPrice,
int quantity, int filled, double averageFillPrice,
Cbi.OrderState orderState, DateTime time, Cbi.ErrorCode error, string comment)
{
    if (order.Name == "Stop loss" && order.OrderState == OrderState.Rejected)
        ExitLong();
}

I look forward to assisting.

[login_dejavu]

Hi Jim,

thanks for your response! Actually I though I cleaned the log from all sensitive, but maybe missed something... so thanks that you delete it.
I just want to make sure that this is expected behavior.

Thanks!

[ttodua]

Other possible solutions:
1) you can set `Unique` order names, which might avoid that OCO errors:

OnBarUpdate()
{
    myOrder = EnterLongStopMarket(0, true, DefaultQuantity, myPrice, "MyEntry"+ CurrentBar);
}

OnExecutionUpdate(..................)
{
     SetProfitTarget(BuyStopSignal.ToString(), CalculationMode.Price, buyProfitTarget);
     SetStopLoss(BuyStopSignal.ToString(), CalculationMode.Price, buyStopLoss, false);
}

2) note the NT behavior.

[PaulMohn]

Chelsea's got a sample with ocostring