Unabled to cancel out unmapped live orders

[Camdo]

Using NT 7.0.0.19
Trying to restart a strategy in a new session produced the message: "Unable to cancel out unmapped live orders. Strategy xx was not started".

In the previous session, the strategy left my account with one live account position and a corresponding simulated stoploss (by SetStopLoss). When the session ended both were visible on the chart.
NT was closed for the night
Next day, at session open, NT was started and the strategy in strategy tab, which remained from yesterday, was started. The above message then appeared.

Removing the strategy, and then re-adding to the strategy tab, the strategy could then be started.

Is this expected behavior?
When there are session carryovers, is it necessary to remove and reinstall the strategy, in order to restart?

[NinjaTrader_Austin]

Camdo, is this reproducible behavior? What session template were you using, and at what times did you close/open NinjaTrader? If this is reproducible, is the simulated stop loss essential for the error to occur?

It should not be necessary to remove and reinstall a strategy to restart it.

[Camdo]

I do not know if it is reproduceable. I will monitor and report back. This may take some time.

Session Template: default 24/5
each day (monday - friday) is set to start at 9:30am, and end at 4:00pm of same day.

The stategy was stoped at 4:30 pm Friday on the strategy tab.
NT was closed at 6:03 pm Friday.
The next session was on Monday 9:30 am, when the failure occured.
During the weekend, NT was opened and closed several times for strategy programing, but the strategies tab was not touched.

[NinjaTrader_Austin]

Camdo, thanks for the reply. Can you please clarify what you mean with the Session Template set to Default 24/7, but with each day set to start at 9:30am and end at 4pm?

If you are able to reproduce this issue, please let us know how. Thank you for your assistance.

[Camdo]

In Instrument Manager, the instrument is set to use session default 24/5.
In Session Manager, The session template default 24/5 is set to the times 9:30am - 4:00pm for days Monday thru Friday.

I do think this is reproducable as the message has appeared before, but I did not record the happenstance.

For reference, I use MB Trading with Navigtor 11.5.0.5

[NinjaTrader_Austin]

In Instrument Manager, the instrument is set to use session default 24/5.
In Session Manager, The session template default 24/5 is set to the times 9:30am - 4:00pm for days Monday thru Friday.

Thank you for the additional information. For future reference, there is actually a session template that is exactly like you describe called "US Equities RTH". When you reproduce this issue, please let us know how.

[Camdo]

"Unable to cancel out unmapped live orders" has occured again.
using NT 7.7.7.20
Strategy was stopped prior day after session close approx 4:00 pm
Strategy cannot be started next day, 9:23 am, per pop up message.

I think this problem may be related to the fact that NT is not recording market data as historical.
Although the option for recording as historical is checked, market data is reloaded upon connection.
After session close, I closed NT and restarted and connected. The strategy that was running that day was backtested. A SetStopLoss executed historically, but did not execute live. That is because the reloaded data is slightly different. So the next day, the strategy will be out of sync with the account.

Can this be the source of "Unmapped Live Orders"? The strategy contains a SetStopLoss which was left active the prior day, but which would not be in existence the following day because the stop loss was executed historically by the strategy initialization process.

My options are set to "Submitt Immediately Live Working Orders"

[NinjaTrader_JoshP]

Camdo,

No, an unmapped live order would be an order sitting on your live account already, not a theoretical order sitting as a strategy position. This message has to do with positions/orders on your live account. When you start the strategy it is trying to sync your account position to the strategy position. This means any working orders you have sitting on the account that do not match any working strategy order needs to be cancelled as they do not belong with the strategy. The message comes up when those orders are unable to be cancelled. I suggest trying to manually close out of those working orders before starting the strategy if the strategy is unable to cancel them. Once cancelled, then you should be able to start.

[Camdo]

There were no working orders at the time the strategy was started. Which I comfirmed by viewing the orders tab. The orders tab was blank. Also MBT Navigator had no working orders.

The strategy had an active SetStopLoss from the prior day session. Could that be the source of the "Unmapped live order"?

I have noticed some funny buisness regarding the SetStopLoss(simulated).
If "Submitt Immediately" is checked,
and strategy is in a historical position,
and the account contains a position of same instrument from another strategy,
and strategy is restarted within the session,
then the simulated stoploss is not simulated but submitted to the brokerage as real.

That may be an unrelated matter, but it implies something amiss about SetStopLoss.

[NinjaTrader_JoshP]

The only way to know which order is the source of the unmapped live order is to go through the log/trace files at the time the strategy was started.

Please provide these files along with the time the strategy was started, the account it was started on, and the instrument it is running on.

The other scenario you have outlined is likely not related.

[Camdo]

Josh, I have emailed the log and trace files to your attention.
The strategy was started 9:23 am. Other details are in the email.

[Camdo]

Josh, Thank you for reviewing the log and trace files.
I traced back all the attempted cancellations which took me back a few days of trading.
In sequencial order the events are:

1. Two days ago, an external limit order to "buy" was placed via MB Navigator. I think it was GTC.

2. Every strategy started after that external limit, had unexplained problems with position quantities resulting in rejected orders and strategy termination. One strategy had its simulated SetStopLoss submitted as real. This was the first of the "unmapped live orders unable to cancel"

3. The external limit order was cancelled 2 days ago.

4. Henceforth all strategies worked okay, but their exits were "unmapped"

The smoking guns are the external limit order to Buy, or the SetStopLoss(simulated) that went real.

Does NT permit external working orders?

[NinjaTrader_JoshP]

Camdo,

The external orders would definitely be of factor here in the unmapped orders scenario. NT does permit external orders. The issue can arise if NT is simply unable to cancel it though as you have seen. When such a scenario happens you end up with the unmapped orders message.

As for the SetStopLoss(), now that we have the unmapped issues out of the way. Do you have a simple test strategy that would demonstrate the issue we could try on our end? Thanks.

[Camdo]

Josh, I will monitor the 'simulated stop becoming real' issue to obtain the exact conditions.

From post #8

No, an unmapped live order would be an order sitting on your live account already, not a theoretical order sitting as a strategy position.

There were no orders on my account at the time the "unmapped live order" message appeared.

It seems that NT is looking at something other than "live" orders on the live account.
In this instance, it is reading "filled" orders as "live".

The first "unmapped order" is the simulated stop submitted as real. It has an OCO which is not listed in the executions. Perhaps that is the source of the "Unmapped live orders unable to cancel." Once triggered, a cascading takes place, as all exit orders there after are "unmapped".

NT is looking back into its order database for the time since the strategy was added to the strategy tab. Removing the strategy and reinstalling solves the "unmapped" problem, so a new lookback period must be established.

There must be some error here as NT is not looking at "live" orders.

[NinjaTrader_JoshP]

Let us get things completely reset.

1. Please reset your DB.
2. Remove any prior instances of the strategy and really start a brand new one

I discussed this with development and we believe what may be the case is that some how the sim stop is not being recovered properly and because it is not recovered, it will want to be cancelled on strategy start. Development also mentioned there is internal logic that could simply just return out of a cancel request on a sim stop which could indeed lead to the issues you are seeing here. To proceed we would want to try and isolate out steps to reproduce the sim stop not being recovered properly. If this is something you can reproduce easily we would be very interested in the exact steps you take and the strategy in use. Thank you for your efforts.

Also, we would be interested to know when was the last time you started the strategy before the issue seen on 9/9/2010. If you are not sure, could you please send us all of your log/traces? Thanks.