If futures move huge on news the slippage on a Globex stop can be gigantic. Globex merely matches buyers and sellers. When a bunch of sell stops start cascading with no buyers, i.e. if there was an assassination or nuclear terror attack, you can figure a sell stop in ES would be filled 20-50 worse and in an index product that's less liquid, like NQ, ER2, or YM, perhaps 5% worse. In fact with the stop circuit breakers it's possible that on a really big move you're stop won't get filled at any price. It'll just remain as a limit order unfilled at higher levels. As recently as 2003 a cascading stop situation took YM down 500 points! Of course those trades were busted but it should enlighten one to the possibilities as to how real news could effect the book.
I don't have enough experience to meaningfully answer your question. But I agree with the conclusion other '87 vets arrived at when posed a similar question: at some point leading up to a crash, liquidity becomes more and more scarce, until finally, liquidity is gone and the market free falls. Depending on a brokerages place in the liquidity 'pecking order', a trader may be able defer the impending liquidity vacuum - probably measured in tens of seconds. But after that, the chasm opens and the market tanks, freezes (see the japanese system failure) or shuts down. Its at this point where it makes no difference whether a human broker or computerized stop is waiting to execute your order. The reason: no buyers exist for which the computer or human broker to match your trade with. Everyone has gone for the doors. at the same time.
O.K First of all the exchanges now have circuit breakers in place. Trading is halted either after a 10% or 20% drop, depending on the time of day when the drop occurs. Maximum drop in the DJIA in one day is 30%. If the market is heading toward a halt, and you are still positioned the wrong way, and you don't at least close out the position. Then I have no sympathy for ya. http://www.nyse.com/Frameset.html?displayPage=/press/circuit_breakers.html http://www.nasdaqtrader.com/trader/help/circuitbreaker.stm
Good points. But how much of that allotted percentage drop occurs within the last hour of tradign? Probably most.
Now, having said that. If you are trading ES contracts with $500 margins, a 1% drop in the index may in fact still wipe your account out.