Error changing stop order

[silverm3170]

Hello,

I get the following error on occasion in my strategy, which uses unmanaged orders:

Cannot change order '493860972' because current order values already match. affected Order: BuyToCover 1 StopMarket @ 62.25

I have the following code which is meant to ensure the order is only changed if the new stop price is different than current (long example):

// Compute trailing stop. Updates TrailLineLong[]
ComputeTrailerLong(barsAgo);

LastTrailingLong = TrailLineLong[barsAgo];

bool updateLastSetStopPrice = false;

if ((StopOrder1 != null) &&
(LastTrailingLong != LastSetStopPrice))
{
ChangeOrder(StopOrder1, StopOrder1.Quantity, 0, LastTrailingLong);
trace = @"Changed StopOrder1 Long at " + LastTrailingLong.ToString(); Print(trace);
updateLastSetStopPrice = true;
}

if ((EntriesPerDirection > 1) &&
(StopOrder2 != null) &&
(LastTrailingLong != LastSetStopPrice))
{
ChangeOrder(StopOrder2, StopOrder2.Quantity, 0, LastTrailingLong);
trace = @"Changed StopOrder2 Long at " + LastTrailingLong.ToString(); Print(trace);
updateLastSetStopPrice = true;
}

if ((EntriesPerDirection > 2) &&
(StopOrder3 != null) &&
(LastTrailingLong != LastSetStopPrice))
{
ChangeOrder(StopOrder3, StopOrder3.Quantity, 0, LastTrailingLong);
trace = @"Changed StopOrder3 Long at " + LastTrailingLong.ToString(); Print(trace);
updateLastSetStopPrice = true;
}

if (updateLastSetStopPrice)
{
LastSetStopPrice = LastTrailingLong;
}

This block of code is called from OnBarUpdate. The initial stop order is placed during OnExecutionUpdate when the entry orders are confirmed to be filled. LastSetStopPrice is initialized there. Is there a more robust way to ensure the order is not modified if the stop price is the same, or any other ideas on preventing this error?

Thanks,
Sliverm3170

[NinjaTrader_ChrisL]

Hi Sliverm3170, thanks for your note.

OnExecutionUpdate can be called multiple times, are you sure the order is not trying to be changed more than one time? This can be fixed with a simple boolean flag e.g.

public bool ShouldUpdateStop = true;

if(ShouldUpdateStop)
{
Update();
ShouldUpdateStop = false;
}

Using Print Statements within your code is also very useful to see how the code is running:

https://ninjatrader.com/support/helpGuides/nt8/?print.htm

Please let me know if I can assist any further.

[silverm3170]

Hi Chris,

Thanks for the quick reply. To understand your explanation better, here's more of the log preceding the error:

2020-01-07 08:22:17:699|1|32|Order='493860972/' Name='Stop3' New state='Accepted' Instrument='CL 02-20' Action='Buy to cover' Limit price=0 Stop price=62.25 Quantity=1 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-01-07 08:22:17:699|1|32|Order='493860972/' Name='Stop3' New state='Working' Instrument='CL 02-20' Action='Buy to cover' Limit price=0 Stop price=62.25 Quantity=1 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-01-07 08:22:19:569|1|32|Order='493860972/' Name='Stop3' New state='Accepted' Instrument='CL 02-20' Action='Buy to cover' Limit price=0 Stop price=62.25 Quantity=1 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2020-01-07 08:22:19:569|1|32|Order='493860972/' Name='Stop3' New state='Working' Instrument='CL 02-20' Action='Buy to cover' Limit price=0 Stop price=62.25 Quantity=1 Type='Stop Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='Unable to change order' Native error='Cannot change order '493860972' because current order values already match.'
2020-01-07 08:22:19:573|0|32|, Cannot change order '493860972' because current order values already match. affected Order: BuyToCover 1 StopMarket @ 62.25
2020-01-07 08:22:19:570|0|4|Strategy '/161447190' submitted an order that generated the following error 'Unable to change order'. Strategy has sent cancel requests, attempted to close the position and terminated itself.

Are the double instances of 'Accepted' and 'Working' an indication that the order is getting changed multiple times?

The only code in OnExecutionUpdate that responds to the order being a stop order is the following:

if ((StopOrder1 != null) && (StopOrder1 == execution.Order))
{
if ((execution.Order.OrderState == OrderState.Filled) ||
(execution.Order.OrderState == OrderState.PartFilled))
{
StopOrder1 = null;
}
}

Likewise for StopOrder2, and StopOrder3 (There is code to issue the stop orders, but that's in response to the order being EntryOrder1/2/3. Also this error usually occurs well after the trades have progressed, e.g. usually the first couple of targets are hit, etc.). Where is the order being prompted to change multiple times?

Are you suggesting using a bool inside on OnExecutionUpdate to control OnBarupdate calling my original code to change the order?

[NinjaTrader_ChrisL]

Hi silverm3170, thanks for your reply.

If you add a Print statement right before the order changing code, do you see the print statement twice? I'm not sure specifically what's happening in the strategy, so a Print statement will be the best way to find out if the code is being run twice.

My suggestion is indeed to place some kind of blocking flag to prevent code from being run twice in OnExecutionUpdate. If this helps, we have an example of setting protective orders in this sample:

https://ninjatrader.com/support/helpGuides/nt8/?using_onorderupdate_and_onexec.htm

[silverm3170]

Thanks Chris. Looking at your example I realize I hadn't considered precision issues, i.e. my stop update calculations are doubles and not rounded down or up to nearest tick. It might be enough to trigger an update if not an exact match. I'll check that as another angle.

[NinjaTrader_ChrisL]

Hi silverm3170, thanks for your reply. That is a good observation. Let me know how it goes investigating that route.