applied to stop buy order: The stop order with the lowest stop price would be triggered first. If two stop orders have the same stop price, then the timestamp which was attached when it entered the order book is used to determine the order of execution. The earlier order will be triggered first.
applied to stop sell order: accordingly
Pro rata matching
Pro rata matching is used to allow smaller orders to participate in the matching process without suffering from disproportionate slippage during low volatility. I guess that when the stop price is hit (market trades at or above the stop price for a stop buy) all eligible stop orders are converted to market orders and will participate in the pro rata matching. Any order that is not filled within the matching range could be cancelled.
CME uses allows stop limit orders only. If a stop market order is sent to CME it will automatically be converted to a stop limit order (stop market with protection, limit price = stop price +- 50% of the non-reviewable range). When the stop price is hit, the stop order is filled against all price levels between stop and limit price. The remaining part of the order becomes a limit order. Now back to your question, which matching principles are used.
Usually stop orders do reside at the exchange. Please contact your broker to understand whether the stop order is simulated on their servers. Generally this should not be the case.
NinjaTrader allows you to simulate stop orders locally. In that case they are residing on your PC and will be triggered, once that the stop price has been hit. The main reason to use simulated stop order instead of real stop orders is that you may add further conditions to your stop order such as (for a stop buy order)
- minimum volume required at or above the stop price before the stop order is triggered
- using a stop limit price below the stop price
However, a local simulation of a stop order may increase slippage in case that price cuts right through the stop price, as you would be served last with regard to time priority.
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