Quote from erToo:
Last I heard CBOT has native stops (market), but not native stop limit orders. So if your market stop is hit and the market is moving you may get 3-6 tick slippage. Perhaps someone who has definitive information on this could clarify the issue.
From the horse's mouth:
This bulletin is a reminder that current e-cbot functionality includes Host-based Stop orders and Request for Quote (RFQ). Please review the sections below which describe the functionality in detail.
Host-based Stop Orders
and Stop Limit order
types are available on the Trading Host. Buy Stop orders will be triggered by a trade at or above the Stop Trigger Price and Sell Stop orders will be triggered by a trade at or below the Stop Trigger Price. Higher bids/lower offers, as well as strategy leg prices, will not activate Stop Orders.
For a Stop Market order
, once the Stop price is triggered, the order
is entered into the Trading Host as a Market order
. This order
acts as a regular Market order
and will match against any resting bids or offers in the market
up to the dynamic price limit
range. If there is any remaining quantity on the market order
after it reaches the dynamic limit
, it will be automatically cancelled by the Trading Host.
orders are configured to have the same trigger and limit
prices. Once the Stop price is triggered, the order
is entered into the Trading Host as a Limit order
at the trigger price.