Let say I buy ES at 1050 and have a stop order at 1048. Can your broker just fake the data and trigger your stop loss order and buy ES from you at 1048 and sell it at market at 1050 and make 2 points profit?
The simple answer is NO. Your broker doesn't really control the data feed so it can't fake it and even if it did, ES is an exchange-traded product so you can always go back and review the time&sales data and see exactly where the market was at the time and what trades took place.
Your broker can probably internally execute your stop and take the ES into inventory, and unload it at its leisure -
How did you manage to come up with that utter nonsense? Name all the futures brokers that execute ES futures orders internally. Name all the futures brokers that maintain an inventory of ES. Name all the futures brokers that deal in ES futures "at its leisure".
My broker (IB) had me stopped once from TF position where chart was not even showing that price reached to that stop level. When I complained about it, they did send me a convincing tick by tick execution log to justify that execution was correct. My 2 lots were 20 cents apart and both were hunted by someone who was controlling the AH market (certainly not my broker). I felt terrible as TF made 5+ pt move immediately after that. But what can you do? Welcome to this dirty game... My stops were as followings XXX.50 XXX.30 And both stop orders were executed at XXX.60 @@@ Why did I get better price is still beyond my understanding@@@ Anyway, it was a charting issue where my favorite NinjaTrader did not catch the spike. I could clearly see the spike after zooming the same chart using IB's native chart (which is bit crappy).
Problem in general with stop orders are the one touch blues. Your stop orders rest at the exchange and are early in line getting filled typically on the first touch of the price. This is the nature of the game... Markets are pretty efficient at clearing orders. You can try to keep your stops at the back of the queue by periodically canceling and replacing the orders. ie. set stop alternating 1148.00, 1147.75 on each tick beginning when price hits 1148.50. Alternatively just change a parameter of the order at the price level.. ie. change GTC Each time you change or cancel and replace the order goes to the back of the line. Worse case you give up a tick... best case you get your price touch and reverse without your stop being triggered.
Are you sure that they follow FIFO (first in first out). I think the fill is randomized. Is there a place where the exchange fill policy is documented?
This is completely incorrect. Stop orders resting at an exchange do not function in this way. All stop orders will be executed on the first touch of their stop price. Your position in the queue simply affects your execution priority and modifying your stop order to place it at the back of the queue will only mean that you suffer greater slippage.