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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

  #11 (permalink)
Elite Member
san ramon
 
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Big Mike View Post
I understand.

But, the question I am really asking is -- can a stop loss limit order be filled at the non-limit price in a market that was not halted?

Mike


I don't have a first hand answer but my guess/hope would be not..........maybe spread came into play.......also, do you see a difference in IQfeed and Zen-Fire quotes........if Zen-Fire is delayed and you are perceiving the market with IQfeed data then you may be getting slippage based on the difference in price between two feeds ......

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  #12 (permalink)
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zikonc View Post
I don't have a first hand answer but my guess/hope would be not..........maybe spread came into play.......also, do you see a difference in IQfeed and Zen-Fire quotes........if Zen-Fire is delayed and you are perceiving the market with IQfeed data then you may be getting slippage based on the difference in price between two feeds ......

I am using IQfeed data and Zen Fire brokerage, but that isn't the issue. The order was submitted MINUTES before price traded near the level. The order was accepted immediately. My ping time to ZF is about 35ms.

Mike

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  #13 (permalink)
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Mike, there has been some discussion of stop limit orders on the NT support forum. Ninja developers have admitted that stop limits can be filled as far away as 20 ticks - that's how it was designed. One poster. "beyondMP", who's written about the subject in that forum and others as well, has been trying to get this changed for 8 years with no success.

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  #14 (permalink)
Market Wizard
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Big Mike View Post
BTW, I understand the above in certain situations, like if a market is closed then re-opened (normal close/open, or halt, etc).

Like I said, I convinced myself "both ways". The argument with myself was something like this:

- I am a seller @ 83.30.
- I am on the bid @ 83.30.
- No one wants to buy @ 83.30.
- Instead, someone buys @ 83.35.

Why would someone buy @ 83.35 instead of @ 83.30? Why did the market not force the fill to the best bid, 83.30?

Well, Mike, if someone placed a sell @ 83.31 (above you), then they become the best bid and not you, and same for .32, .33, .34 etc. Each level maybe no LAST was conducted until .35, but each time the bid was raised.

Like I said, I am unclear on this so wanted discussion/advice I also don't recall this ever happening at Amp or IB, but Amp is basically a clone of Mirus you would think, but IB is naturally quite different.

Mike

I thought you were short at 83.20 and your stop is 83.30. so you're a buyer at 83.30 and not a seller.

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  #15 (permalink)
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Silvester17 View Post
I thought you were short at 83.20 and your stop is 83.30. so you're a buyer at 83.30 and not a seller.

Yes you are right I am buying to cover, my mistake in the example.

So what is your take?

Mike

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  #16 (permalink)
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mgtrader View Post
Mike, there has been some discussion of stop limit orders on the NT support forum. Ninja developers have admitted that stop limits can be filled as far away as 20 ticks - that's how it was designed. One poster. "beyondMP", who's written about the subject in that forum and others as well, has been trying to get this changed for 8 years with no success.

Do you have a link to this discussion?

So you believe the platform is what is effecting this outcome, and not CME or broker?

Mike

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  #17 (permalink)
Market Wizard
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Big Mike View Post
Yes you are right I am buying to cover, my mistake in the example.

So what is your take?

Mike

could be many things. other traders had same stop orders and there was not enough on the offer. or the offer was empty till 83.35.

it's my understanding you have 2 choices with stop orders. stop order and stop limit order. with a stop order, as soon as price is reached, your order becomes a market order. with stop limit order, as soon as price is reached that would be your limit. the problem with stop limit orders are, you might not get filled.

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  #18 (permalink)
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Big Mike View Post
Yes you are right I am buying to cover, my mistake in the example.

So what is your take?

Mike

You have no price protection. You can ask your broker to produce time & sales but that may not lead to an answer that will satisfy you. Such is life trading electronically in thin markets like CL.

Also, there are market orders and limit orders on ES. One doesn't get converted to another; however, a stop order becames a market order when the limit price is touched. The rules of the markets don't change among instruments, but liquidity does.

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  #19 (permalink)
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Silvester17 View Post
could be many things. other traders had same stop orders and there was not enough on the offer. or the offer was empty till 83.35.

it's my understanding you have 2 choices with stop orders. stop order and stop limit order. with a stop order, as soon as price is reached, your order becomes a market order. with stop limit order, as soon as price is reached that would be your limit. the problem with stop limit orders are, you might not get filled.

Correct.

BM said he had a stop limit, but it must have been a stop order.

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  #20 (permalink)
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Zoethecus View Post
Correct.

BM said he had a stop limit, but it must have been a stop order.

that's what I believe too

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