NexusFi: Find Your Edge


Home Menu

 





Stop Limit Offset


Discussion in Emini and Emicro Index

Updated
      Top Posters
    1. looks_one tderrick with 4 posts (3 thanks)
    2. looks_two Quick Summary with 1 posts (0 thanks)
    3. looks_3 One Eyed Shark with 1 posts (1 thanks)
    4. looks_4 Silvester17 with 1 posts (5 thanks)
      Best Posters
    1. looks_one Silvester17 with 5 thanks per post
    2. looks_two One Eyed Shark with 1 thanks per post
    3. looks_3 trendwaves with 1 thanks per post
    4. looks_4 tderrick with 0.8 thanks per post
    1. trending_up 4,022 views
    2. thumb_up 10 thanks given
    3. group 3 followers
    1. forum 7 posts
    2. attach_file 0 attachments




 
Search this Thread

Stop Limit Offset

  #1 (permalink)
 
tderrick's Avatar
 tderrick 
Nashville, Tennessee
 
Experience: Intermediate
Platform: Ninja / Jigsaw / 9G
Broker: AMP / CQG
Trading: NQ, YM and ES
Posts: 1,588 since Sep 2010
Thanks Given: 4,260
Thanks Received: 2,532

Does anyone use offsets when using a Stop Limit Order ?

I have been intrigued with bracket orders on either side of small consolidation areas attempting to
capture a break in either direction.

So, when you use an offset, this gives you a greater chance of getting filled, because this gives more
than one price to the market assisting in quick moves.

So if you have an offset of +2, it will fill at the price listed or either of the two ticks above / below, correct?

And one more question. It is not possible to get filled at all 3 ticks (3 contracts) , if your initial order
is only for, say , 1 contract ? You will simply get filled at the first available price within the offset .

Danke


AJ
Nashville, Tennessee


"Life On The Edge of SR"
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote

Can you help answer these questions
from other members on NexusFi?
NexusFi Journal Challenge - April 2024
Feedback and Announcements
ZombieSqueeze
Platforms and Indicators
The space time continuum and the dynamics of a financial …
Emini and Emicro Index
Are there any eval firms that allow you to sink to your …
Traders Hideout
NT7 Indicator Script Troubleshooting - Camarilla Pivots
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on NexusFi
Get funded firms 2023/2024 - Any recommendations or word …
61 thanks
Funded Trader platforms
38 thanks
NexusFi site changelog and issues/problem reporting
27 thanks
GFIs1 1 DAX trade per day journal
19 thanks
The Program
18 thanks
  #3 (permalink)
 One Eyed Shark 
Manchester UK
 
Experience: Intermediate
Platform: S5 / Jigsaw
Trading: NQ/ES/6J&B
Posts: 6 since Feb 2012
Thanks Given: 5
Thanks Received: 5


Generally that is correct.

Assuming the offset is +2 and 1 contract traded , a limit order for 1 contract is entered 2 ticks above the market if you are buying, so that is your worst fill.

If the market hits your stop price and immediately pulls back as the limit enters , it is possible to have a postion better than your stop price , this is liquidity dependant so more likely in NQ than ES.

Reply With Quote
Thanked by:
  #4 (permalink)
 
Silvester17's Avatar
 Silvester17 
Columbus, OH
Market Wizard
 
Experience: None
Platform: NT 8, TOS
Trading: ES
Posts: 3,603 since Aug 2009
Thanks Given: 5,139
Thanks Received: 11,527


tderrick View Post
Does anyone use offsets when using a Stop Limit Order ?

I have been intrigued with bracket orders on either side of small consolidation areas attempting to
capture a break in either direction.

So, when you use an offset, this gives you a greater chance of getting filled, because this gives more
than one price to the market assisting in quick moves.

So if you have an offset of +2, it will fill at the price listed or either of the two ticks above / below, correct?

And one more question. It is not possible to get filled at all 3 ticks (3 contracts) , if your initial order
is only for, say , 1 contract ? You will simply get filled at the first available price within the offset .

Danke

you didn't believe me huh

but we can make this real easy. we can ask @Fat Tails to take a look.

- when using a stop limit order, an offset is always needed. it could be at the same price (that would be an offset of zero), it could be a positive offset or a negative offset. offsets are calculated in ticks.

- a stop limit order will become a limit order when stop price is triggered.

example: you have a buy stop limit order at 1840 with an offset of 2. if market reaches 1840, your buy stop limit order will be changed into a buy limit order at 1840.50. in a liquid market like ES, it's very likely you'll get filled at 1840 or 1840.25.

the bigger the offset, the better the chance of getting filled. it depends how badly you want your order executed and how much slippage you're willing to accept). if you use a negative offset of 2, then as soon as 1840 is triggered, your buy stop limit order will become a buy limit order at 1839.50. of course now you have a bigger chance of not getting filled. so one has to be careful what strategy he wants to use. especially if you want to use a stop limit order as a stop loss order. something I wouldn't recommend.

as a side note, it's also a good idea to check what kind of stop orders your exchange offer. some don't offer stop market (cme) and some don't offer stop limit orders.

Reply With Quote
  #5 (permalink)
 
tderrick's Avatar
 tderrick 
Nashville, Tennessee
 
Experience: Intermediate
Platform: Ninja / Jigsaw / 9G
Broker: AMP / CQG
Trading: NQ, YM and ES
Posts: 1,588 since Sep 2010
Thanks Given: 4,260
Thanks Received: 2,532


Silvester17 View Post
you didn't believe me huh

but we can make this real easy. we can ask @Fat Tails to take a look.

- when using a stop limit order, an offset is always needed. it could be at the same price (that would be an offset of zero), it could be a positive offset or a negative offset. offsets are calculated in ticks.

- a stop limit order will become a limit order when stop price is triggered.

example: you have a buy stop limit order at 1840 with an offset of 2. if market reaches 1840, your buy stop limit order will be changed into a buy limit order at 1840.50. in a liquid market like ES, it's very likely you'll get filled at 1840 or 1840.25.

the bigger the offset, the better the chance of getting filled. it depends how badly you want your order executed and how much slippage you're willing to accept). if you use a negative offset of 2, then as soon as 1840 is triggered, your buy stop limit order will become a buy limit order at 1839.50. of course now you have a bigger chance of not getting filled. so one has to be careful what strategy he wants to use. especially if you want to use a stop limit order as a stop loss order. something I wouldn't recommend.

as a side note, it's also a good idea to check what kind of stop orders your exchange offer. some don't offer stop market (cme) and some don't offer stop limit orders.


you busted me !!!

I always try to get as many angles on a subject as possible... but, it seems very clear now...

grazie , my friend


AJ
Nashville, Tennessee


"Life On The Edge of SR"
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #6 (permalink)
 
trendwaves's Avatar
 trendwaves 
Florida
Market Wizard
 
Experience: Advanced
Platform: NinjaTrader 8
Trading: ES, NQ, CL
Posts: 703 since Dec 2012
Thanks Given: 2,898
Thanks Received: 2,525

I use Stop Limit for entry orders only in certain trade setups. My default setting uses an offset of 2 ticks. So for an entry, I am willing to give the market at most 2 ticks of slippage to get into the trade.

I do not use Stop Limit for stop loss orders however, because more than once when I used it for this purpose, the +2 limit price was hopped and the order was left hanging and not filled. Meaning the Stop Limit was executed but the limit order was never filled and the market kept going well beyond my limit price and the open loss continued to grow in size. In this case, I ended up having to flatten the position manually at whatever price was available. This happens in the thinner markets like CL, YM, TF, NQ.

I suppose sitting here thinking about it, I could try a +4 offset and most likely be filled, but even there it's no guarantee. I always think back to the flash crash type of stop cascade scenario, I would still rather take 10 ticks of slippage with a Stop Market order in that situation and get out of the position as fast as possible, rather than have my limit order hopped and potentially lose $ thousands in a few minutes.

Visit my NexusFi Trade Journal Reply With Quote
Thanked by:
  #7 (permalink)
 
tderrick's Avatar
 tderrick 
Nashville, Tennessee
 
Experience: Intermediate
Platform: Ninja / Jigsaw / 9G
Broker: AMP / CQG
Trading: NQ, YM and ES
Posts: 1,588 since Sep 2010
Thanks Given: 4,260
Thanks Received: 2,532

That is a great point. I made double sure when I was setting up this entry DOM, that the original Ninja ATM's were
not effected by the change to entry Stop Limit orders. Sure enough, the ATM exit stops stayed market while
my entry Stops are now Limit.

I am starting out with an offset of zero. This is not my main setup and I consider it a bit like chasing so
if I am not filled at the perfect price, it's OK.

I like to trade the NQ in the London Globex session into the US open. The slower nature of the PA
may give me a better chance on getting filled on these BO type trades.

It has worked so far in Market Replay where the fills are actually more hit and miss than Live.

Trading Live seems like most everything gets filled.


Thanks for the insight




trendwaves View Post
I use Stop Limit for entry orders only in certain trade setups. My default setting uses an offset of 2 ticks. So for an entry, I am willing to give the market at most 2 ticks of slippage to get into the trade.

I do not use Stop Limit for stop loss orders however, because more than once when I used it for this purpose, the +2 limit price was hopped and the order was left hanging and not filled. Meaning the Stop Limit was executed but the limit order was never filled and the market kept going well beyond my limit price and the open loss continued to grow in size. In this case, I ended up having to flatten the position manually at whatever price was available. This happens in the thinner markets like CL, YM, TF, NQ.

I suppose sitting here thinking about it, I could try a +4 offset and most likely be filled, but even there it's no guarantee. I always think back to the flash crash type of stop cascade scenario, I would still rather take 10 ticks of slippage with a Stop Market order in that situation and get out of the position as fast as possible, rather than have my limit order hopped and potentially lose $ thousands in a few minutes.



AJ
Nashville, Tennessee


"Life On The Edge of SR"
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:
  #8 (permalink)
 
tderrick's Avatar
 tderrick 
Nashville, Tennessee
 
Experience: Intermediate
Platform: Ninja / Jigsaw / 9G
Broker: AMP / CQG
Trading: NQ, YM and ES
Posts: 1,588 since Sep 2010
Thanks Given: 4,260
Thanks Received: 2,532

I woke up this morning and a light came on .

I was thinking about your use of the work "triggered" .

It finally dawned on me that the stop portion of the show just gets the ball rolling for the Limit order
to take effect.

Since you can't have a limit order sitting above price to catch a bull break, you must have a stop there
along with a limit. They are actually two things.

I was too embarrassed to tell you I still didn't get what you were talking about over at 9G and I had
used enough of your time. I knew it worked, but I was struggling with the why and how part.

It guess I'm like a carpenter who uses a hammer every day, but has no idea of the molecular structure
of the wood and steel I an wielding.

Thank you for following me over to futures.io (formerly BMT) and holding my hand until I grasped the concept.

grazie



Silvester17 View Post
you didn't believe me huh

but we can make this real easy. we can ask @Fat Tails to take a look.

- when using a stop limit order, an offset is always needed. it could be at the same price (that would be an offset of zero), it could be a positive offset or a negative offset. offsets are calculated in ticks.

- a stop limit order will become a limit order when stop price is triggered.

example: you have a buy stop limit order at 1840 with an offset of 2. if market reaches 1840, your buy stop limit order will be changed into a buy limit order at 1840.50. in a liquid market like ES, it's very likely you'll get filled at 1840 or 1840.25.

the bigger the offset, the better the chance of getting filled. it depends how badly you want your order executed and how much slippage you're willing to accept). if you use a negative offset of 2, then as soon as 1840 is triggered, your buy stop limit order will become a buy limit order at 1839.50. of course now you have a bigger chance of not getting filled. so one has to be careful what strategy he wants to use. especially if you want to use a stop limit order as a stop loss order. something I wouldn't recommend.

as a side note, it's also a good idea to check what kind of stop orders your exchange offer. some don't offer stop market (cme) and some don't offer stop limit orders.



AJ
Nashville, Tennessee


"Life On The Edge of SR"
Follow me on Twitter Visit my NexusFi Trade Journal Started this thread Reply With Quote
Thanked by:




Last Updated on January 19, 2014


© 2024 NexusFi™, s.a., All Rights Reserved.
Av Ricardo J. Alfaro, Century Tower, Panama City, Panama, Ph: +507 833-9432 (Panama and Intl), +1 888-312-3001 (USA and Canada)
All information is for educational use only and is not investment advice. There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
About Us - Contact Us - Site Rules, Acceptable Use, and Terms and Conditions - Privacy Policy - Downloads - Top
no new posts