StopCancelCloseIgnoreRejects does not honor rejected changes

[kevinenergy]

Hi there,

there is a problem with RealtimeErrorHandling = RealtimeErrorHandling.StopCancelCloseIgnoreRejects with unmanaged strategies.

If I try to trail a Stop Loss in an Unmanaged Strategy and the market moves fast and my trailed stop price ends up on the wrong side of the market, resulting in a rejected change, this is not captured by StopCancelCloseIgnoreRejects. The strategy closes the position and shuts down.

It would seem that the only way to handle this scenario is to use RealtimeErrorHandling.IgnoreAllErrors; which exposes my strategy to a huge amount of risk as any unexpected exception will be ignored. Should rejected order changes not be captured by StopCancelCloseIgnoreRejects ? I think they should be.

[kevinenergy]

One more question on this, if I may. I noticed that when an order is rejected that the State goes straight from ChangeSubmitted to Working, but there's an error string which contains "UnableToChangeOrder".

In the interests of making my Unmanaged order handler broker agnostic; is this error string an internal Ninjatrader string or it it coming from CQG? i.e Is checking for the presence of this string a robust way for identifying failed order changes across all supported brokers?

Thanks

[NinjaTrader_ChelseaB]

Hello kevinenergy,

I've tested using a live demo and I was not able to reproduce this behavior using 8.0.16.3.

Below is a link to a video of the test.
https://drive.google.com/file/d/1xmEDZr26MSCTax2p6EpDktqY34UwFQId/view?usp=drivesdk

May I confirm that if you changed this in code you have removed the instance of the script and added a new instance so that the default settings are pulled?

If so, please send an email to platformsupport [at] ninjatrader [dot] com so that we may request your log and trace files.

[kevinenergy]

Hi Chelsea, I think you've mis-understood the issue. The problem is when you submit a stoploss order correctly. And then change the order price so that it is on the wrong side of the market.

If you reverse the +/- 5 Ticks on your example so that the stops submit correctly, then drag them to the wrong side of the market via chart trader you will see that the Strategy does a StopCancelClose on the rejected order change.

Hello kevinenergy,

I've tested using a live demo and I was not able to reproduce this behavior using 8.0.16.3.

Below is a link to a video of the test.
https://drive.google.com/file/d/1xmEDZr26MSCTax2p6EpDktqY34UwFQId/view?usp=drivesdk

May I confirm that if you changed this in code you have removed the instance of the script and added a new instance so that the default settings are pulled?

If so, please send an email to platformsupport [at] ninjatrader [dot] com so that we may request your log and trace files.

[NinjaTrader_ChelseaB]

Hello kevinenergy,

I was able to reproduce with a ChangeOrder() and the 'Unable to change order' message.

I am further inquiring with our development if this is expected behavior for this realtime error handing type.

I appreciate your patience.

[NinjaTrader_ChelseaB]

Hello kevinenergy,

I've been informed this behavior is the expected and intended behavior. The unable to change error does not cause the order to be rejected, the order state of the order remains working (unless cancelled by the strategy being disabled).

I've received tracking ID #SFT-3667 for unable to change failures to be excluded with the StopCancelCloseIgnoreRejects error handling.

Please note it is up to the NinjaTrader Development to decide if or when any request will be implemented.