I can't speak for a 99 BMW, but I have experienced something similar on my 1998 Honda Accord. The Honda dealer believes it is a problem with the ignition switch. It may be worn and telling the car it has been shut off, even if you don't touch the key. I also had problems starting the car. He suggested that once I turn it to the start position and then release it slowly, not letting it "snap" back to the run condition. This has temporarily addressed my problem until I can get the car in and have the switch replaced.