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Stop orders and trigger price
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Stop orders and trigger price

  #11 (permalink)
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TWDsje View Post
Well according to their programming guide I'm wrong so...

http://www.motivewave.com/sdk/MotiveWave_SDK_Programming_Guide.pdf



You can also write your own stop that basically sends a market order when the specified conditions are met.

Do you mean this?
if Low()<=stopprice then
SendMarketOrder(Sell, qty);

I have tried this but slippage increases. I am aware that Stop Order are also market orders sent on trigger but since they resides with the broker they will execute earlier than the market orders sent by me and hence less slippage.

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  #12 (permalink)
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TWDsje View Post
I'll add that if your strategy is getting stopped out of winning trades that you might want to look at ways to refine your entries instead.

I am getting stopped out of winning trades because the stops are triggered incorrectly based on ASK/BID. If the stops are triggered on the basis of LTP then I would not have a issue.

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  #13 (permalink)
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TradingTech View Post
There are many ways to go about using stops and technically, when a stop fires @CMEgroup what's really entering the market is a limit order, not a market order. CME doesn't really have market orders at all. They submit limit orders "x" number of ticks into the market. They refer to this as market with protection. You can take this a step further and submit other order types like iceberg orders based on a stop threshold. CME doesn't support that combo but some ISVs do with their co-located synthetic servers.



Yes, you can set your trigger off of anything you like. Bid/ask, LTP, volume thresholds, even specific times.


Here is a link to the CME http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Types+for+Futures+a...e&macroName=multiexcerpt

And here is a screen shot of the relevant info about the CME's market orders....

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  #14 (permalink)
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Yes. As stop with protection is the same thing as a limit order. The order enters the market "x" levels into the book and gets filled at the best available price. A true market order has no protection.

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  #15 (permalink)
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Blash View Post
Here is a link to the CME http://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Types+for+Futures+a...e&macroName=multiexcerpt

And here is a screen shot of the relevant info about the CME's market orders....

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TradingTech View Post
Yes. As stop with protection is the same thing as a limit order. The order enters the market "x" levels into the book and gets filled at the best available price. A true market order has no protection.


I'm sorry but a stop with protection is not the same thing as a limit order.

Yes it does place a limit order, also, but once the stop is triggered market orders are sent and as we know will be filled at the next available price(s). The limit set at a certain distance might or might not be used and is only there as the "protection" if the market has a sudden large move you don't have a fill far far away but you might not ever get filled on part of the position if the market moves away from the limit.

Reading through the examples from the CME in the above posted picture for both the bid and the ask make this abundantly clear.

Ron


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  #16 (permalink)
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It's an exchange defined limit and you're welcome to take up the conversation with the CME. You're better off defining your own limit using a synthetic stop limit as the exchange does not publish their protection levels. You may configure your triggered stop limit to enter the market at a pre-determined number of ticks into the market. This removes the need to rely on the exchange defined "protection" limit.

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  #17 (permalink)
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jefforey View Post
Do you mean this?
if Low()<=stopprice then
SendMarketOrder(Sell, qty);

I have tried this but slippage increases. I am aware that Stop Order are also market orders sent on trigger but since they resides with the broker they will execute earlier than the market orders sent by me and hence less slippage.

Yes, you will get more slippage with a synthetic stop. You'll also incur more losses on your losing trades if you use a wider stop. That's the trade-off you get for having a more forgiving stop. Maybe this trade-off helps your strategy, maybe it doesn't.

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  #18 (permalink)
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From the CME link it appears that market order has to be triggered by a trade but that does not seem the case in Rithmic simulation as my STOP ORDER is triggered by Best BID/ASK reaching the stop price. I have verified this several times from the chart. LTP never reached my stop price but stop order was triggered and traded a tick above/below the stop price. This just get more confusing for me.

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