Playback Connect - Order Rejected in 8.0.23.1 - worked in previous version 8.0.22.2

[AusTrader]

Hi,

I recently upgraded to 8.0.23.1 from 8.0.22.2

After doing this my strategy stopped working in Playback Connection.

I get the error: “Playback101, Buy stop or buy stop limit orders can’t be placed below the market” for long orders and the opposite for short orders. For orders that previously worked.

Let me stress, this worked fine in 8.0.22.2 and is broken in 8.0.23.1.

I rolled back to 8.0.22.2 and my strategy works again.

The bar opens at 11,949.5 (o/h/l/c all have the same value) and the order is placed at 11,955.

orderId='f40b3f7360604560b28f9e041722f788' account='Playback101' name='SC-BT-L' orderState=Submitted instrument='FDAX 06-15' orderAction=Buy orderType='Stop Limit' limitPrice=11955 stopPrice=11955 quantity=1 tif=Day oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=8357 time='2015-03-24 18:30:01' gtd='2099-12-01' statementDate='2015-03-24'

Then the error:

orderId='f40b3f7360604560b28f9e041722f788' account='Playback101' name='SC-BT-L' orderState=Rejected instrument='FDAX 06-15' orderAction=Buy orderType='Stop Limit' limitPrice=11955 stopPrice=11955 quantity=1 tif=Day oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=8357 time='2015-03-24 18:30:01' gtd='2099-12-01' statementDate='2015-03-24'
Order comment: Buy stop or buy stop limit orders can't be placed below the market.

But the order is above the market on the first tick - 11,949.5 when the order is placed at 11,955.0.

The charts attached demonstrate the difference in the behaviour.

This problem occurs when the order is place on a bar and that bar travels into the stop in the same bar in Playback mode. Works fine in strategy analyzer. Works fine in the previous version of NT8.

See charts attached

Thanks in advance for your assistance with this issue.

See excerpt from my strategy log below:
2020/11/28 05:44:08:584: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: SubmitEntryOrder: o/h/l/c : 11949.5/11949.5/11949.5/11949.5 live stop price: 11955
2020/11/28 05:44:08:584: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: SubmitEntryOrder: OrderAction: Buy OrderType: StopLimit EntryOrderBar: 50303 Close[0]: 11949.5 Entry Stop: 11955
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate: orderId='f40b3f7360604560b28f9e041722f788' account='Playback101' name='SC-BT-L' orderState=Submitted instrument='FDAX 06-15' orderAction=Buy orderType='Stop Limit' limitPrice=11955 stopPrice=11955 quantity=1 tif=Day oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=8357 time='2015-03-24 18:30:01' gtd='2099-12-01' statementDate='2015-03-24'
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate: orderId='f40b3f7360604560b28f9e041722f788' account='Playback101' name='SC-BT-L' orderState=Rejected instrument='FDAX 06-15' orderAction=Buy orderType='Stop Limit' limitPrice=11955 stopPrice=11955 quantity=1 tif=Day oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=8357 time='2015-03-24 18:30:01' gtd='2099-12-01' statementDate='2015-03-24'
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Account: Playback101
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:OrderAction: Buy
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:AvgFillPrice: 0
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Filled: 0
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:FromEntrySignal:
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Gtd: 1/12/2099 12:00:00 AM
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Instrument: FDAX 06-15 Eurex
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:LimitPrice: 11955
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:IsLiveUntilCancelled: True
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Name: SC-BT-L
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Oco:
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:OrderId: f40b3f7360604560b28f9e041722f788
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:OrderState: Rejected
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:OrderType: StopLimit
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:HasOverFill: False
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Quantity: 1
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:StopPrice: 11955
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:Time: 24/03/2015 6:30:01 PM
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:TimeInForace: Day
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:ToString: orderId='f40b3f7360604560b28f9e041722f788' account='Playback101' name='SC-BT-L' orderState=Rejected instrument='FDAX 06-15' orderAction=Buy orderType='Stop Limit' limitPrice=11955 stopPrice=11955 quantity=1 tif=Day oco='' filled=0 averageFillPrice=0 onBehalfOf='' id=8357 time='2015-03-24 18:30:01' gtd='2099-12-01' statementDate='2015-03-24'
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:limitPrice: 11955
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:quantity: 1
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:filled: 0
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:averageFillPrice: 0
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:time: 24/03/2015 6:30:52 PM
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:error: OrderRejected
2020/11/28 05:44:08:598: Time: 2015/03/24 18:31 : CB: 0050303: BIP: 0: OnOrderUpdate:comment: Buy stop or buy stop limit orders can't be placed below the market.

[NinjaTrader_ChelseaB]

Hello AusTrader,

Thank you for reporting an issue.

So that I may test, please provide an export of the script that when tested with the same data set causes different rejected messages.

To export a NinjaTrader 8 NinjaScript so this can be shared and imported by the recipient do the following:

1. Click Tools -> Export -> NinjaScript...
2. Click the 'add' link -> check the box(es) for the script(s) and reference(s) you want to include
3. Click the 'Export' button
4. Enter a unique name for the file in the value for 'File name:'
5. Choose a save location -> click Save
6. Click OK to clear the export location message

By default your exported file will be in the following location:

• (My) Documents/NinjaTrader 8/bin/Custom/ExportNinjaScript/<export_file_name.zip>

Below is a link to the help guide on Exporting NinjaScripts.
http://ninjatrader.com/support/helpG...-us/export.htm

Once exported, please attach the file as an attachment to your reply.

I look forward to receiving the export.

[AusTrader]

Hi, please find attached a basic strategy that generates the error. And the two errors when run at Max Speed on 8.0.23.1.

I was running playback connection on 24/May/2015 for FDAX 06-15. Any date will probably do it - just change the date/time and entry price in the strategy to one bar before a higher bar.

This script works on 8.0.22.2 at Max Speed
This script fails on 8.0.23.1 at Max Speed - works at slower speed (x100 tested) - so it would appear to be an issue when running at Max.

Thanks for your assistance

[NinjaTrader_ChelseaB]

Hello AusTrader,

We are finding some behaviors we feel are incorrect with replay in 8.0.23.1.

We are currently testing and reporting, and once I have a tracking ID for this issue I will post in this thread.

[AusTrader]

Hi Chelsea,

Thanks for that. I look forward to getting it sorted. :-)

[NinjaTrader_ChelseaB]

Hello AusTrader,

Our development is tracking this behavior with unexpected rejections and with the strategy orders stopping (and a few other issues) while in playback with ID# NTEIGHT-14723.

As new releases of NinjaTrader become available, please check the release notes for this ID. Once listed, please update and test for the behavior.

https://ninjatrader.com/support/helpGuides/nt8/release_notes.htm