Stop Limit vs Stop Market

[ts888]

is it possible within an ATM strategy to have stop loss orders that are stop limit but convert to stop market after a certain amount of time or price movement past stop loss? I have searched around the help guide but the only thing I see that resembles this under the ATI tab with relation to TradeStation orders.

[NinjaTrader_Ray]

Stop loss orders that are stop limit are submitted with an extremely wide limite (20 ticks or so) so for practical purposes, it will execute like a market. Not once since the lifetime of NT has a stop loss stop limit order been blown past.

[ts888]

Stop loss orders that are stop limit are submitted with an extremely wide limite (20 ticks or so) so for practical purposes, it will execute like a market. Not once since the lifetime of NT has a stop loss stop limit order been blown past.

ok so to clarify, is it correct to say that the stop loss stop limit is not actually a limit exit order at the specified price but rather a sort of limit or better with the limit being some distance away?

[NinjaTrader_Ray]

Its correct to say that its a stop limit order with a limit price 20 tick or so away from the stop price. If the stop price is breached, then it will fill at your limit price or better.

[NinjaJorge]

"Not once since the lifetime of NT has a stop loss stop limit order been blown past."

Hi Ray, well now it has. Sold CL at 108.85 with a 10 ticks stop loss, i.e. 108.95 with a 109.15 limit. Blown all the way. One second later (I swear, one second) over 110.00. Covered manually for a loss of over 1,200 USD.

Ok, stuff happens, but please, any way to make sure this does not happen again? (My broker is Interactive Brokers). Also, I thought the 20 ticks limit applied only to Globex, not NYMEX.

Thank you,

Jorge

[NinjaTrader_Ray]

Thanks for reporting this.

[NinjaJorge]

My pleasure, Ray, but if I may insist, any way to make sure this does not happen again?

Thank you,

Jorge

[NinjaTrader_Ray]

Unfortunately not at this time.

[ts888]

It would seem that what happened in the CL trade was purely due to an explosion in a highly volatile contract. Even if you used stop market you would of likely experienced similar slippage. Or am I missing something here ?

[NinjaJorge]

Hi TS,

It's not that I got a bad fill with a lot of slippage, the market went through my stop as if it hadn't been there (it was). I had to close manually.

Slippage is a matter of life, not much you can do about it if you're trading volatile instruments at particularly volatile times, but I just think that the team at Ninja (which by the way are doing a fantastic job, I have nothing but praise for them) should address this very important issue, which wasn't supposed to happen, but does happen and is likely to affect more people sooner or later. (I would guess that it's actually happened to more people, but probably it didn't hit them so badly and didn't feel it was worth reporting).

Jorge

[ts888]

Hi TS,

It's not that I got a bad fill with a lot of slippage, the market went through my stop as if it hadn't been there (it was). I had to close manually.

Slippage is a matter of life, not much you can do about it if you're trading volatile instruments at particularly volatile times, but I just think that the team at Ninja (which by the way are doing a fantastic job, I have nothing but praise for them) should address this very important issue, which wasn't supposed to happen, but does happen and is likely to affect more people sooner or later. (I would guess that it's actually happened to more people, but probably it didn't hit them so badly and didn't feel it was worth reporting).

Jorge

I guess then I'm still not understanding exactly how this feature works. I thought that the second price traded at your level, the stop went into effect with the extra part being that there was a wide limit and you wouldn't be stopped out beyond that limit. Sorry to hear about your trade. Damn crude !!!

[NinjaJorge]

The way I understand it is that if your stop (for a long order) is at say 100.00, the moment a trade is carried out at that price or below your stop-loss order is triggered and it will try to fill you (and ONLY will fill you) between that price and 20 ticks, i.e. in this example up to 99.80. The problem is that if there are no orders between those prices (or most likely, not enough orders to get everybody filled at those prices) you don't get filled at all, the market may trade say at 99.79, you could be the first in line, but the 20-tick limit will prevent you from getting filled.

20 ticks in the ES is quite a bit and I'm sure it's very unusual for a stop-loss not to get filled (at least during regular trading hours, you see really wild jumps overnight), but in other more volatile contracts is clearly not enough (for instance in crude you lately get almost everyday a 1-minute 14-ATR 1 over 25 ticks for a couple of hours).

I realize that this is something Globex should simply get rid of (I really don't see the benefit - supposedly it would reduce volatility, but it doesn't anyway, so...), but in the meantime I think Ninja should find a way around this, since Interactive Brokers supports stop-market from their TWS I guess there must be a way.

"Damn crude!!!" --> hey, be nice to crude, it may retire us - if it doesn't break us first

Jorge