Today "Nuts. Large eMini trades $ES_F 13:37:29.1 2000 ctcs clears 8 ticks 13:37:37.6 2000 ctcs 9 ticks 13:37:37.7 600 ctcs 4 ticks" via nanex
The bid/ask liquidity is a mere shadow of what the ES used to be. I looked at the DOM today and it looks about as thin as 6E. With the large trading volumes and low bid/ask liquidity, you're going to get slippage.
If you care to state exactly what type of stop you had and who your broker was, I may be able to shed some additional light on this.
It happened again this afternoon! strange stuff for sure. My order was submitted through a Ninjatrader strategy meaning when the data feed hit said price it submitted a market order. Broker is AMP futures, Kinetick data feed and Trading Technologies connection.
OK. Fair enough. I thought your order was submitted at 3:58 like yesterday, assuming we are talking EST, but it sort of makes my following argument invalid anyway. At any rate, in the recent high volatility environment, a market order at two minutes before close of business is bound to get abused. However, I see no unusual volume behavior at 1:00PM EST today to cause such slippage (which you don't illustrate for today, BTW). I would talk to AMP and see what they have to say about it. Just for the record, I use AMP with CQG/NT and rarely ever experience slippage, however, virtually all my orders are limit.
WHY would there be low bid/ask liquidity if there is large trading volume? Everybody is trading ES in some secret black market now?