I'm experiencing the problem that limit orders generated by a strategy will get cancelled after 1-2 seconds about 75% of the time.
The order is generated using this overload of EnterLongLimit:
EnterLongLimit(0, false, (int)(Lots * LotMultiplier()), LimitPrice, StrategyName);
This is the log output:
7/10/2009 12:51:02 PM Order Order='19ue72s:1ihj/33110514' Name='EmaTrendBounce' New State=Cancelled Instrument='$EURAUD' Action=Buy Limit price=1.79083 Stop price=0 Quantity=0.1M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
7/10/2009 12:51:02 PM Order Order='19ue72s:1ihj/33110514' Name='EmaTrendBounce' New State=Working Instrument='$EURAUD' Action=Buy Limit price=1.79083 Stop price=0 Quantity=0.1M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
7/10/2009 12:51:02 PM Order Order='19ue72s:1ihj/33110514' Name='EmaTrendBounce' New State=Accepted Instrument='$EURAUD' Action=Buy Limit price=1.79083 Stop price=0 Quantity=0.1M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
7/10/2009 12:51:02 PM Order Order='19ue72s:1ihj/33110514' Name='EmaTrendBounce' New State=PendingCancel Instrument='$EURAUD' Action=Buy Limit price=1.79083 Stop price=0 Quantity=0.1M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
7/10/2009 12:51:02 PM Order Order='19ue72s:1ihj/33110514' Name='EmaTrendBounce' New State=Accepted Instrument='$EURAUD' Action=Buy Limit price=1.79083 Stop price=0 Quantity=0.1M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
7/10/2009 12:51:01 PM Order Order='1e168631-DEMOYPOK-5/33110514' Name='EmaTrendBounce' New State=PendingSubmit Instrument='$EURAUD' Action=Buy Limit price=1.79083 Stop price=0 Quantity=0.1M Type=Limit Filled=0 Fill price=0 Error=NoError Native error=''
I'm fairly new to NinjaTrader, so I'm guessing I'm simply ignorant to some caveat of order handling. Thank you.
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