Why I received the "Cancellation Rejected by the Order Management System"?

The "Cancellation Rejected by the Order Management System" message is generated by the broker's Order Management System (OMS). It appears when a request is made to cancel an order that was filled by the market microseconds after the cancellation message is received by the broker.

Here's a breakdown of why this happens:

• When you attempt to cancel an order, especially close to the bid/ask price, the market can move very rapidly.
• If the market fills the order before the broker processes the cancellation request, the broker will send a rejection message to NinjaTrader.
• This means the order was completed before the cancellation could be processed, and therefore the cancellation is rejected.
• When using a trade copier, like Replikanto, if the leader account cancels or changes the order, the action is copied to the follower account, but the time it takes for this to happen may not guarantee that the order is canceled or changed because it could be filled earlier.
• Once an order is completed, it cannot be changed or cancelled.

To minimize this issue:

• Avoid attempting to cancel orders very close to the bid/ask price.
• Widen your stop orders.
• Place orders a little further from the current bid/ask.
• Avoid trading in high volatility environments.
• Use the Follower Guard feature in Replikanto to flatten the follower account if a reject message is received by the broker.

It's important to note that market volatility is inherent, particularly in futures trading, so even when trying to cancel at a distance from the bid/ask, a sudden market movement may fill the order before the cancellation is processed.