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When a stop loss order is filled beyond limit price


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When a stop loss order is filled beyond limit price

  #31 (permalink)
 zikonc 
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Silvester17 View Post
if I understand your question right, you just move your stop to the trading price and then it should be executed.

Thanks......in fast moving markets I find very hard to move a stop order next to the price target .......I mean successfully, i.e. if I don't want to get chopped in pieces ........so I tried with on-the-fly order modification but Mirus does not support such modification although NT does...... NinjaTrader Support Forum - View Single Post - Orders below last traded price ... I thought someone with more experience than me would be able to recommend a broker who supports stop order modifications ........

also....if you look at the log from todays trade you can see that you must place a stop order ABOVE not AT last traded price......in this example the price was 1.3229 and I was only allowed to place the order above it

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  #32 (permalink)
 
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 lolu 
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Big Mike View Post
I agree, it seems like this should be the answer, yet the facts disagree. Maybe after I read the NT thread and hear from the broker I'll have a new idea as to what happened.

As for lolu's post, there was no ATM involved here. I completely understand in a fast moving market if your ATM cancels/moves/repositions an order, you can have slippage. But in this case no ATM, the order was sitting there for many minutes before price traded near the level, and the market wasn't moving very fast. It was just a DT breakout if I remember right.

Mike

Hey, Mike; please, what is a DT breakout ?

Lolu

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  #33 (permalink)
 
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 Big Mike 
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lolu View Post
Hey, Mike; please, what is a DT breakout ?

Lolu

Just my term.

DT/DB double top/double bottom

Top = I use the term breakout to upside
Botom = I use the term breakdown to downside

So, if we have a DT formed, and I decide to buy the breakout, I mean I buy 1 or 2 ticks outside the DT (higher) using a buy stop ahead of time. If we have a DB formed, and I decide to short the breakdown, I mean I short 1 or 2 ticks outside the DB (lower) with a sell stop ahead of time.

The market can "pop" a bit around these areas, lending to some slippage, but it shouldn't be routine or drastic.

Mike

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  #34 (permalink)
 mgtrader 
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Mike, here are a few links to discussions of Ninja stop limits.

https://www.mypivots.com/Board/Topic/5596/1/ninjatraders-refusal-to-fix-major-flaw-leads-to-banning

Limit offset-major problem - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

Help with stop loss - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

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  #35 (permalink)
 
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 Mickey Caine 
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Hi Mike.

Having a Stop limit order seems a bit strange to me. You suggest, in your example, that someone must sell you a contract at 83.30. What happens if there are no sellers at that level or not enough to fill all the buy orders. Price goes up and you are still short because you only want to buy at 83.30. Price could keep going and you could find yourself in a very big hole. Surely a normal stop order that turns your buy order to a market order if price trades at 83.30 is what is needed. Price has hit your stop level, you are wrong with this trade, GET OUT.

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  #36 (permalink)
 
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 Big Mike 
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Thx. Also shows I wasn't losing my mind about globex not supporting market orders at one point

So, it seems that either the default NT config of "stop limit" is not ideal, or that I have somehow changed my DOM without knowing it, and need to change it back to "stop market".

However, that begs a new question. The stop market resides at the broker, yes? (I believe the answer is yes) and is not simulated on NT side, right? Because if NT requires the market trade at the stop price before submitting a market order, that extra 30-35ms each way, plus execution processing delay, could be quite costly. I'll have to do some more testing, but I am concerned the stop will be simulated when set to "stop market".

Mike

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  #37 (permalink)
 
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 aslan 
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I found this zen-oriented thread on NT forum:

Question regarding how NT [AUTOLINK]handles[/AUTOLINK] stop market orders on Globex - [AUTOLINK]NinjaTrader[/AUTOLINK] Support Forum

The 6th post has some good info, and has a good link to CME info on native order types (https://www.cmegroup.com/globex/files/GlobexRefGd.pdf). The terminology "Market with Protection" and "Limit with Protection" was new to me.

I am curious if the broker ever got back to you on your slippage. If your order was not a native "stop limit" order, then the slippage makes sense.

There are a couple of layers that need to be understood to figure out what is going on. First is how is Ninja configured for stops, second how does your broker translate the ninja order into an exchange order, finally what actually happened at the exchange.

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  #38 (permalink)
 
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 Mindset 
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buy limit
An order to a broker to buy a specified quantity of a security at or below a specified price.

If you are getting slippage something is wrong or more likely the wrong type of order is being submitted. The exchange rules would prevent NT or Mirus or anybody screwing with a limit order.

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  #39 (permalink)
 
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 lolu 
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Mindset View Post
buy limit
An order to a broker to buy a specified quantity of a security at or below a specified price.

If you are getting slippage something is wrong or more likely the wrong type of order is being submitted. The exchange rules would prevent NT or Mirus or anybody screwing with a limit order.

But "they" say limit orders are executed on First In First Executed (FIFE) basis. So, who control this FIFE process ?

Lolu

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  #40 (permalink)
 
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 Mindset 
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If it's an electronic exchange eg Eurex it's just a queue system of whoever gets their order in first. You have to be careful therefore if you 'amend' your order because often this loses your position in the queue.
There is no way (to my knowledge) of knowing how many orders are in front of you.

You can of course jump the queue by placing a market order but even there you may be 1 of a dozen market orders so a queue may exist.

Remember it's not a conspiracy if they are all out to get your money :-)
Can't speak for anything else.

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