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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

  #41 (permalink)
Market Wizard
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Mindset View Post
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.

in theory that's correct. but there are certain ways it can be changed. like brokers who have buys and sells can and will match some of them. with other words their important customers will get faster fills.

but still, a limit order is a limit order and there's no way around.

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  #42 (permalink)
Elite Member
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Going back to BM's original question. I believe you should fight for this as 'bad slippage' against your broker. We get cases of this every so often (large global futures fund), and if this occurs (rarely) we simply tell the broker and they reimburse us.

Your thinking is 100% correct. Oftentimes Stop (of any sort) is resting at the broker waiting for the stop price to 'trigger'. Once triggered, it is submitted as either a LIMIT (in the case of a stop-limit) or a MARKET (in case of a stop-market). You shouldn't have been filled at 35. Contend it.

Some exchanges have a limit on how far the limit price can be from the stop price (the exchanges that support stop orders). If you submit a limit price above the threshold (say 3 ticks), the order would get rejected by exchange. This is their protection from runaway price moves. These exchanges (sydney and hk come to mind) do not support stop-market orders either.

Of course since we are large, our brokers obey us.

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  #43 (permalink)
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Big Mike View Post
I've noticed recently that with Mirus Futures and CL I'm getting some slippage on stop orders.

Example:

Am short @ 83.20

Stop loss limit order @ 83.30, placed many minutes ahead of when price trades near this level.

Market pops (just a regular "pop" on CL, no news or anything), my stop loss limit order gets filled at 83.35 instead of 83.30. That's some painful slippage, especially when my stop was a limit order.

I'm scratching my head on this, trying to figure out if this is the correct behavior or not. I've convinced myself both for and against, so am now asking for input from the smart guys here on futures.io (formerly BMT).

I know on ES that all orders are limit orders -- a 'market' order is actually converted to a limit order by your broker. I'm not sure if the same is true of CL, can anyone confirm?

Please share thoughts... I don't remember seeing this with Amp or IB.

Mike

if there are no sellers at that level then who are you going to buy from? if the market gapped up, or "popped" as you put it, then sellers didn't return until the top of the gap and transactions began taking place again. nymex is doing you a favor by filling that 5 cents higher because you are saying 5 cents lower or cheaper. what if they didn't fill that? now you are watching a market run up and you are trapped.

CL is illiquid as hell. i see that thing move like 20 ticks on about 10 lots of orderflow. trade something that has liquidity. this has nothing to do with your broker or the exchange, its simply the nature of the CL contract and moreover all trading instruments, i see the CL gap ten ticks all the time when i occasionally watch the CL quote. you're not going to get a fill in that gap no matter what order you have resting at the exchange. no business was conducted in the gap!

jumping over short stop loss levels... can anyone say short squeeze?



Last edited by traderlars; May 12th, 2010 at 02:56 AM.
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  #44 (permalink)
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put up a 1 tick prints charts of the execution and lets see what happened. since you didn't mention anything about where you set your trigger level for the stop limit order then i have to assume it was set at the same level as the limit itself. this could have also been the problem. if you can go back to the trade then please post a 1 tick prints charts and let take a look.


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  #45 (permalink)
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traderlars View Post
put up a 1 tick prints charts of the execution and lets see what happened. since you didn't mention anything about where you set your trigger level for the stop limit order then i have to assume it was set at the same level as the limit itself. this could have also been the problem. if you can go back to the trade then please post a 1 tick prints charts and let take a look.

isn't the 'trigger' price the stop price?

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  #46 (permalink)
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on a stop limit there are two levels you need to configure. the limit price, which in this case was thirty and the trigger price, which i assume was also thirty.

think about it. you are sending a limit buy order ABOVE the market. if there wasn't a trigger price then as soon as that order hit the market it would exit your trade around where you just entered assuming you are sending the entry plus stop at the same time also with a possible take profit as a bracket order.

the question i'm asking is that he only mentioned one price, thirty, in other words whether you consider it a trigger price or a stop price, there still needs to be two levels set, the trigger and the limit price.

the reason i'm asking this is because if he sets the trigger to the same price as the limit the market only has to jump 1 tick over that order, whereas if he sets the trigger price a few ticks lower then it gives that order a chance to execute at his level assuming volatile and fast moving markets. this does however mess up his risk reward possibly due to the stop triggering earlier than he would like or in the situation where he sets his limit higher then his trigger, filling with more risk then he is willing to take.

look lets say the market creeps up to his trigger and limit at 30, ok? market is offered at 30 and bid at 29, 29 prints, the offer lifts to 32 and 32 prints, now his trigger has hit and his limit order is submitted to the exchange (assuming nymex doesn't hold stop at the exchange, i dunno), "buy X @ 30 or cheaper", well guess what? that isn't going to fill, in theoretical conditions, because the market is already at 32, he will have to wait for the offer to hit 30 before he gets executed, and what if the market doesn't tradde lower and rather runs away on him? whereas if he had his trigger at 28 or something he would have a chance to fill at 30 or cheaper. in this situation it might actually be ninjatraders fault because they didn't make it clear that your limit price and trigger price are two different things when sending a limit stop.

this is why i asked for a prints chart because it still sounds like the market gapped over the the order, or by the time the trigger was hit, the market was already above the limit price and the order was just filled for some reason i do not yet understand. possibly having something to do with how his broker or nymex handles these situations.



Last edited by traderlars; May 13th, 2010 at 10:23 PM.
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  #47 (permalink)
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OH NO, and I thought Mirus was a dma stp broker. A little over a year ago when I was just starting out and unfortunately blew out my first account on the cme, i put on a 42 option structure, had no charts and no knowledge of charting, just a lot of options strategy knowledge... to the point, I setup an account with Advantage future.

They give you direct access to the CME. No broker in the middle. With X Trader, any order you put up is held at the exchange if I am remember correctly. I had a trader number at the CME and any order i put up was associated with my number, not my brokers. If Mirus is collating customer orders on a server and then trading them in bigger lots on their account at the CME this is problem. I don't trust brokers one bit.

The caveat with going direct on the exchange at Advantage is can only get data for the instrument you are setup to trade. So if you put in 5000 you cannot trade CL today and ES tomorrow, nor can you chart anything you are not setup to trade. I was thinking of going with Mirus becasue a it's a lot less to setup an account and I'm just turning into a profitable business now but it's cost me everything I had, and two I thought they were not getting between me and the market and I liked the free platform offer and the ability to chart other products, but I will have to rethink it. I want total transparency, total fairness, no games, no bs... which can only mean no broker....


Big Mike View Post
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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  #48 (permalink)
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I'd have to concur. The CME is one amazingly trading organization in my opinion. I would find it very hard to believe if any faults would be found there. When I had any trade issue while a customer of Advantage, there was just one, instead of talking with a broker rep I was talking to a guy at the exchange who reviewed everything with me. It was pretty cool...


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.


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  #49 (permalink)
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The point is not whether he was better off getting the fill, but whether his order instructions were followed according to the rules of the brokerage (read the fine print) and the rules of the exchange (generally easy to understand)


traderlars View Post
if there are no sellers at that level then who are you going to buy from? if the market gapped up, or "popped" as you put it, then sellers didn't return until the top of the gap and transactions began taking place again. nymex is doing you a favor by filling that 5 cents higher because you are saying 5 cents lower or cheaper. what if they didn't fill that? now you are watching a market run up and you are trapped.

CL is illiquid as hell. i see that thing move like 20 ticks on about 10 lots of orderflow. trade something that has liquidity. this has nothing to do with your broker or the exchange, its simply the nature of the CL contract and moreover all trading instruments, i see the CL gap ten ticks all the time when i occasionally watch the CL quote. you're not going to get a fill in that gap no matter what order you have resting at the exchange. no business was conducted in the gap!

jumping over short stop loss levels... can anyone say short squeeze?


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  #50 (permalink)
Market Wizard
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traderlars View Post
on a stop limit there are two levels you need to configure. the limit price, which in this case was thirty and the trigger price, which i assume was also thirty.

think about it. you are sending a limit buy order ABOVE the market. if there wasn't a trigger price then as soon as that order hit the market it would exit your trade around where you just entered assuming you are sending the entry plus stop at the same time also with a possible take profit as a bracket order.

the question i'm asking is that he only mentioned one price, thirty, in other words whether you consider it a trigger price or a stop price, there still needs to be two levels set, the trigger and the limit price.

the reason i'm asking this is because if he sets the trigger to the same price as the limit the market only has to jump 1 tick over that order, whereas if he sets the trigger price a few ticks lower then it gives that order a chance to execute at his level assuming volatile and fast moving markets. this does however mess up his risk reward possibly due to the stop triggering earlier than he would like or in the situation where he sets his limit higher then his trigger, filling with more risk then he is willing to take.

look lets say the market creeps up to his trigger and limit at 30, ok? market is offered at 30 and bid at 29, 29 prints, the offer lifts to 32 and 32 prints, now his trigger has hit and his limit order is submitted to the exchange (assuming nymex doesn't hold stop at the exchange, i dunno), "buy X @ 30 or cheaper", well guess what? that isn't going to fill, in theoretical conditions, because the market is already at 32, he will have to wait for the offer to hit 30 before he gets executed, and what if the market doesn't tradde lower and rather runs away on him? whereas if he had his trigger at 28 or something he would have a chance to fill at 30 or cheaper. in this situation it might actually be ninjatraders fault because they didn't make it clear that your limit price and trigger price are two different things when sending a limit stop.

this is why i asked for a prints chart because it still sounds like the market gapped over the the order, or by the time the trigger was hit, the market was already above the limit price and the order was just filled for some reason i do not yet understand. possibly having something to do with how his broker or nymex handles these situations.

you're absolutely right about the trigger and limit price. but so far I wasn't able to configure those two prices individually with ninjatrader. that means my trigger and limit price are always the same. can you tell me how to change the limit price? thanks

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