I have removed all the stop orders from my strategy and replaced it with my own stop loss logic using the market order. It worked fine in the backtest mode and the auto-trading mode with the paper account.

However, running the exactly same strategy with live account, the market order didn't get placed whereas the buy order got placed without any problem. There wasn't even an alert sitting in the Alerts pane of the SM but I'm not sure if it was once sitting in the Alerts pane before removed while being automatically placed (assuming if alerts are removed after auto-placed to Orders window).

At 6:34, market buy alert was generated, automatically placed and got filled.
At 11:23, market sell alert was supposed to be placed but it didn't happen. However, it was marked as sold on the Chart (streaming enabled) in the Strategy window.

Apparently the position was theoretically closed even though neither market order was placed nor filled.

There was one error logged in wlp.txt between those two time frames and I'm wondering if it has something to do with the failure of placing the market order on live account.

QUOTE:
System.NullReferenceException: Object reference not set to an instance of an object.
at Fidelity.Components.RequestManager.TibcoController.CloseTibcoSession()
2009-06-02 07:17:34,310 [1] ERROR WealthLab.DataProviders.FidelityAuthenticationProvider [(null)] - 10: Change in tick lag.
2009-06-02 07:17:34,324 [20] ERROR WealthLab.DataProviders.FidelityStreamingProvider [(null)] - 10: Change in tick lag.

Any idea?

Please work with Fidelity phone support. I won't be here for the next several days (starting 2 hours ago), and, we generally can't help you with Fidelity streaming or authentication issues.

QUOTE:
we generally can't help you with Fidelity streaming or authentication issues.

So you think this market order not placed was due to authentication issues on Fidelity side? Any other possibility you can think of?