Orders not getting filled.

Hi,

At the bottom of this post is part of the buy logic of an algo that I am working on. In short, when there is a buy signal, the order should place a stop limit order at 1 cent above the high. The order should be valid for the duration of the entire bar, which in this case is one minute, and if it has not been filled it should be canceled. For the most part, the algo is doing the right thing, but there are several instances I noticed where something is going wrong. 

 

Instance 1:

In this order ticket, the order was placed at the right price and right time. If you look at a chart of TQQQ at this time and date, the price of TQQQ went above the price of 22 so the order should have been filled, but instead, it got cancelled. (The cancelation logic was right in this case since it only sent the cancelation order after the duration of one bar (one minute))

 

Instance 2:

In this order ticket, the order was placed at the right price and right time. If you look at a chart of TQQQ at this time and date, the price of TQQQ went above the price of 22 so the order should have been filled, but instead, it got canceled. 

 

Instance 3:

In this order ticket, the order was placed at the right time and at the right price, but it got canceled even though the high of the bar was 21.94, so it should have been filled. 

Could someone please help me understand what is going wrong in this program? 

# region imports
from AlgorithmImports import *
# endregion
import pandas as pd
import numpy as np
from ta.trend import ema_indicator
from ta.volatility import bollinger_hband, bollinger_lband
import pandas_ta as ta

class LogicalBrownScorpion(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2023, 3, 1)
        self.SetEndDate(2023, 3, 24)
        self.SetCash(1000000) 
        self.symbol = self.AddEquity("TQQQ", Resolution.Second, dataNormalizationMode=DataNormalizationMode.SplitAdjusted).Symbol
        self.Consolidate(self.symbol, Resolution.Minute, self.CustomHandler)
        

        self.barsSince = 0
        self.ticket = None
        self.OrderPlaced = False
        self.entryPrice = None
        
        self.SetWarmUp(300, Resolution.Minute)

    def OnData(self, data: Slice):
        try:
            if self.IsWarmingUp: return
            
            if self.Portfolio.Invested:
                price = data.Bars[self.symbol].Close
                if price >= self.entryPrice + .05:
                    self.Liquidate(self.symbol)
                    self.OrderPlaced = False
                    self.barsSince = 0
        except:
            pass

    def CustomHandler(self, bar):
        if self.IsWarmingUp: return

        if self.OrderPlaced:
            self.barsSince += 1
        
        if self.barsSince == 1:
            if self.ticket is not None:
                self.ticket.Cancel()
            self.OrderPlaced = False
            self.barsSince = 0


  

        if not self.Portfolio.Invested and self.OrderPlaced == False:
            try:
                history = self.History([self.symbol], 2, Resolution.Minute)
                high_prices = history.high.unstack(level=0)[self.symbol]
                current_high = round(float(high_prices[-1]), 2)
                low_prices = history.low.unstack(level=0)[self.symbol]
                current_low = round(float(low_prices[-1]), 2)
                if buySignal1:
                    self.ticket = self.StopLimitOrder(self.symbol, 10000, current_high + .01, current_high + .01)
                    self.OrderPlaced = True
                    elif buySignal2:
                        self.ticket = self.StopLimitOrder(self.symbol, 10000, current_high + .01, current_high + .01)
                        self.OrderPlaced = True
            except:
                pass