...on Sept 16 the CME changed banding parameters for several instruments including ES. On the following day, I was unable to move my stop in NT and got a rejection message from TT. Well, we know that the CME does not support stop market orders, but rather they are actually internally handled as stop limits. So, when a stop market order as the stop loss in a standard NT ATM strategy, at least with TT (but probably with all data providers), you will be unable to move your stop correctly sometimes, due to the fact that the limit price is not changed by NT when you change the stop price. NT's answer was: use a stop limit (which is what internally the CME does anyway). I accept this answer and understand that it's a fine line as to who really is "right" here, but they made no real effort to acknowledge the danger of this (particularly I would think for automated strategies).

...the CME does not have a "stop market" order, they have a "stop with protection" (see page 11 and 12 here. For ES it is 12 ticks. Non-reviewable range is 24 ticks, and the limit given to the stop is half of that. What it means is that you cannot get slipped more than this amount (12 ES ticks) on a stop. I suppose that in the case of a catastrophe and you were slipped more than the non-reviewable range, your trade would be reviewed and you would not be at fault, but I really don't know how it would work for sure.

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Hello,

I would like to further follow up on this to clarify.

This occurs due to the exchange does not allow stop market orders and as such TT turns the order into a stop limit behind the scenes. When the TT broker turns the order into a stop limit then NT when it modifies the price will only modify the stop price and does not modify the limit price since the order was returned a accepted a different order type then NT submitted.

Therefor its a good idea in the first place to use the right order type with the right market to begin with so this would only apply to markets that do not accept stop market.

As far as this scenario this is scheduled to be looked into by development for next major release of NInjaTrader so that if the order does change that we are aware of it and modify the limit price as well.