In the end, the firm’s customer service guy couldn’t work out what had happened, but I saw it was actually my error in calculating margin. So the trade was over the limits of my margin and was rejected as too big when price hit the order level.
The low levels of margin in trading across the EU now means I can’t just aim for one winner per day and sit back as the winnings roll in, I need to set smaller orders but across a range of markets. This actually won’t be a problem - as well as EUR/USD, other markets obviously also have pretty tight spreads - EUR/GBP, GBP/USD, USD/JPY, DAX, DJIA, FTSE100, Gold. Maybe more but this is enough.
I’ll be glad to get back to this strategy later in the week for a proper trial period. Cheers.