today and yesteday I started to check all your points .
The orders are kept at the broker while they are generated by the strategy. That means the conditions for order generation should be met in your code on each tick (IOG=ON) calculation while you need to keep your orders active.
The order can be cancelled due to the following reasons:
1) the script has stopped generating the order;
The script were generating almost an order every second. The stategy were sending orders, then orders were immediately canceled and then resent and recanceled and.... I stopped the Automated Trading after 10 orders canceled in a row.
So I suppose that the script hasn't stopped to generate orders , the script kept generating them once after the other.
2) a different set of orders was generated on a new calculation (ex. on one calculation, there were 2 stops, on the next one - only 1 stop, all orders are cancelled and 1 stop is resubmitted);
My strategy has only 1 contract size for entries and the MC stop loss
Code: Select all
// Fixed Stop loss
setstoploss( Stoploss * bigpointvalue);
so I don't understand what do you mean with "different set of orders". I was supposing that when an order is filled then it immediately send the Stop order ( not OCO because I don't send any target order, exits has their own conditions before sent the exit order)
3) a market order was generated by the code (requires to cancel all active price orders to send it);
The strategy was live and there were no market orders sent to the broker. Also I don't have ENTRY market orders in my strategy, only EXIT market orders. And of course I don't have activated any options that convert limit to market orders.
4) order volume was modified;
Everywhere in my strategy the volume is 1 contract.
http://www.multicharts.com/trading-soft ... to_Trading
5) one of the options from the Auto Trading tab triggered:
This is my TAB and I cannot see any options active that could invalidate my order
Shall I enable the " Convert unexacuted entry orders to market orders after" maybe 3 seconds? I could be a solution but it would be a modification of my system behavious. I would prefer to keep the limit order if possible.
Interesting question ( keeping in mind that I have IOG ON ):
Is there a way to SEND the entry limit order when the strategy conditions are met and KEEP IT ALIVE till the end of the bar? I mean even if just the tick after the order generations the triggering conditions are changed?
6) one of the other orders from this OCO group was cancelled.
This strategy does not use OCO as specified in (2).
In addition to this, as suggested from ABCTG I have setted up a workspace with the same strategy applied to the paper trading broker to check how orders will work there. Unfortunately the strategy usually perform 15 operations per months on average... so I'll have to wait until the net order to see what is happening there.