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Yesterday at 7:29 am Central I placed a ten lot on MNQ with a 21 tick stop. The order filled and stopped me out at 36 ticks (acceptable slippage in fast market) on 7 of the ten contracts and somehow dropped 3 of the ten stops. So I incurred a 500 tick loss per contract on the last 3 before I could manually close out. The market moved very fast at that time. Ninja help told me the solution is to use a bigger stop. Is there any way to prevent this? Are there any other platforms that would prevent this? thx Bill
Can you help answer these questions from other members on NexusFi?
I don't know Ninja and I don't trade micros. I replied because I saw that you also use Tradestation.
Even during huge moves at 7:30am CST, a slippage that large is not acceptable, especially if you had to manually cancel your position: It was not slippage and as you mentioned, it was a platform issue: A larger stop loss will not help, that will just make a larger loss.
Slippage during fast market is also influenced by your Internet speed and reliability and the response time between your PC and your broker server. Another question is what will do your broker with your market (stop) orders ? Resale or direct to CME? (keep it "safe" on their servers or just on your platform (and directly sent to the CME)
Also I don't know if micro NQ has enough liquidity during news or big events, regarding a good stop loss execution. Anyway, with tradestation and trading the NQ, I have never had that kind of problem. Even if Tradestation is not the best during fast markets, it is not that bad.
Best!
It sounds like you put your trade on 1 minute before the CPI report came out?
It's not unusual to see the liquidity be all but "dried up" during a reaction to scheduled (or even unscheduled) news events.
Given you were trading a 10 lot it's not surprising that there weren't enough contracts available when your stop got hit.
The simplest way to prevent this in the future is to be aware of the news that is expected during the trading session.
There are a number of trading calendars out there, here's one:
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Sounds like your saying 3 of the 7 didn't execute. While 15 ticks slippage isn't ideal it's not awful in a market that fast. But that doesn't explain, what happened to the other 3?
I agree with the comments about the slippage being large and about it not being clear about what happened with the other stops, but basically I would not trade close to any major report unless:
(1) I were deliberately trying to grab some of the sudden extreme swings that sometimes accompany them, and
(2) I understood that the market does often hand traders their head when they try (1).
If this trade was a deliberate attempt to take advantage of the potential swings that a market-moving report can cause, it's a high-risk strategy that may not work well. If it was unintentional, then as @Botts suggested, it's important to know what the scheduled reports are every day so you can avoid them.
This is not that clearly a platform malfunction and is more likely a dangerous trade at a tricky time in the market.
Bob.
When one door closes, another opens.
-- Cervantes, Don Quixote
You traded DURING a news event? You ARE bound to have tremendous slippage while getting filled in and out either in profit or loss.
P. S. I can PM you one of the systems I used to trade the news before which was made exclusively TO TRADE THE NEWS. That experience showed me to stay away from news events unless you're trading it THE WAY IT IS MEANT TO BE TRADED.
