I am developing a Strategy that uses AtmStrategyCreate to submit orders for futures (YM or NQ). The problem I encounter is that Chart Trader cancels the orders quite often
e.g. strategy issues a stop limit order to sell at (limitPrice=stopPrice=35550), once price zooms past the price, the order is cancelled. What I would like is to have the limit order "stand" i.e. limit order to sell at 35550 so that it will be filled once price reaches back up to that level.
I looked at checking the event in OnOrderUpdate (and putting in a limit order) but the cancellation of the order does not come with any indication that it was Chart Trader that "automagically" canceled the order or that the reason for the cancellation was because the price has zoomed way past the limit price.
Anybody:
- Is there a way to check for the specific condition (Chart Trader cancels order because price zoomed past)?
- Some suggestions/tips to overcome this
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