I am experimenting with a strategy on the Sim account, running in real-time. I have the same strategy running on ES and DAX OK, but for some reason, on CL it stops working after the first order when in real-time mode. So, it starts and there is a position on. When time comes to reverse, the strategy orders fail. This does not appear to happen on the other 2 symbols I am testing it on, so it is a bit odd.
I have included some log details
This is the first startup and first order going through
2017-12-08 17:41:05:585|1|32|Order='55e7293463a44027b424b7f83 fac218d/Sim101' Name='Sell short' New state='Cancel submitted' Instrument='CL 01-18' Action='Sell short' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 17:41:05:694|1|32|Order='55e7293463a44027b424b7f83 fac218d/Sim101' Name='Sell short' New state='Cancelled' Instrument='CL 01-18' Action='Sell short' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 17:45:47:693|1|4|Disabling NinjaScript strategy 'pjsDAXcd/83929977'
2017-12-08 17:45:53:965|3|4|Strategy 'pjsDAXcd/83929977': An order placed at '03/12/2017 23:00:02' has been ignored since the order was submitted before the strategy property BarsRequiredToTrade had been met.
2017-12-08 17:45:58:923|1|4|Enabling NinjaScript strategy 'pjsDAXcd/83929977' : On starting a real-time strategy - StartBehavior=ImmediatelySubmitSynchronizeAccount EntryHandling=All entries EntriesPerDirection=1 StopTargetHandling=Per entry execution ErrorHandling=Stop strategy, cancel orders, close positions ExitOnSessionClose=True / triggering 30 seconds before close SetOrderQuantityBy=Strategy ConnectionLossHandling=Keep running DisconnectDelaySeconds=10 CancelEntriesOnStrategyDisable=False CancelExitsOnStrategyDisable=True Calculate=On bar close IsUnmanaged=False MaxRestarts=4 in 5 minutes
2017-12-08 17:45:58:923|1|4|Syncing account position on starting strategy 'pjsDAXcd/83929977'. Account position=' CL 01-18' Strategy position='S CL 01-18'
2017-12-08 17:45:58:935|1|32|Order='a293ef0a31394102bb5f86c12 925d606/Sim101' Name='Synchronize' New state='Submitted' Instrument='CL 01-18' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 17:45:59:037|1|32|Order='a293ef0a31394102bb5f86c12 925d606/Sim101' Name='Synchronize' New state='Accepted' Instrument='CL 01-18' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 17:45:59:039|1|32|Order='a293ef0a31394102bb5f86c12 925d606/Sim101' Name='Synchronize' New state='Working' Instrument='CL 01-18' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 17:45:59:042|1|32|Order='a293ef0a31394102bb5f86c12 925d606/Sim101' Name='Synchronize' New state='Filled' Instrument='CL 01-18' Action='Sell' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=1 Fill price=57.31 Error='No error' Native error=''
2017-12-08 17:45:59:043|1|8|Execution='4dcf1ec0045343d79fe13e 08ecc78f3b' Instrument='CL 01-18' Account='Sim101' Exchange=Default Price=57.31 Quantity=1 Market position=Short Operation=Operation_Add Order='a293ef0a31394102bb5f86c12925d606' Time='12/8/2017 5:46 PM'
2017-12-08 17:45:59:043|1|64|Instrument='CL 01-18' Account='Sim101' Average price=57.31 Quantity=1 Market position=Short Operation=Operation_Add
Then, once the strategy tries to enter a position in the other direction, it fails (I do not believe you need to close any existing positions first and this seems to be the case for the exact same strategy running on 2 other symbols)
Here is the failure to reverse
017-12-08 19:29:42:481|1|16|NinjaScript strategy 'pjsDAXcd/83929977' submitting order
2017-12-08 19:29:42:482|1|32|Order='68278355e25d4a3689140acd4 1fe25d3/Sim101' Name='Close position' New state='Submitted' Instrument='CL 01-18' Action='Buy to cover' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:482|1|16|NinjaScript strategy 'pjsDAXcd/83929977' submitting order
2017-12-08 19:29:42:483|1|32|Order='280ebc78f146499a8b7973af2 4ef4bab/Sim101' Name='Buy' New state='Submitted' Instrument='CL 01-18' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:588|1|32|Order='68278355e25d4a3689140acd4 1fe25d3/Sim101' Name='Close position' New state='Accepted' Instrument='CL 01-18' Action='Buy to cover' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:590|1|32|Order='68278355e25d4a3689140acd4 1fe25d3/Sim101' Name='Close position' New state='Working' Instrument='CL 01-18' Action='Buy to cover' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:591|1|32|Order='280ebc78f146499a8b7973af2 4ef4bab/Sim101' Name='Buy' New state='Accepted' Instrument='CL 01-18' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:591|1|32|Order='68278355e25d4a3689140acd4 1fe25d3/Sim101' Name='Close position' New state='Filled' Instrument='CL 01-18' Action='Buy to cover' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=1 Fill price=57.33 Error='No error' Native error=''
2017-12-08 19:29:42:592|1|8|Execution='4f5fa672f08948259e1e09 8b59e66933' Instrument='CL 01-18' Account='Sim101' Exchange=Default Price=57.33 Quantity=1 Market position=Long Operation=Operation_Add Order='68278355e25d4a3689140acd41fe25d3' Time='12/8/2017 7:29 PM'
2017-12-08 19:29:42:592|1|32|Order='280ebc78f146499a8b7973af2 4ef4bab/Sim101' Name='Buy' New state='Working' Instrument='CL 01-18' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:593|1|64|Instrument='CL 01-18' Account='Sim101' Average price=0 Quantity=0 Market position=Flat Operation=Remove
2017-12-08 19:29:42:594|1|16|Position Updated CL 01-18 : Remove : 0
2017-12-08 19:29:42:594|1|16|Position Updated CL 01-18 : Remove : 0
2017-12-08 19:29:42:594|1|16|Order Cancel NT Direct 16128
2017-12-08 19:29:42:604|1|32|Order='280ebc78f146499a8b7973af2 4ef4bab/Sim101' Name='Buy' New state='Cancel submitted' Instrument='CL 01-18' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
2017-12-08 19:29:42:719|1|32|Order='280ebc78f146499a8b7973af2 4ef4bab/Sim101' Name='Buy' New state='Cancelled' Instrument='CL 01-18' Action='Buy' Limit price=0 Stop price=0 Quantity=1 Type='Market' Time in force=GTC Oco='' Filled=0 Fill price=0 Error='No error' Native error=''
Any idea what I am doing wrong?
Thanks.
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