<i>"I actually had this happen a few times intraday without an outside event and as a result will no longer use limit stops."</i> The (supposed) ol' fat finger mistakes several times a few years ago plunged ER and YM intraday without warning. Also, two unnanounced rate cuts in Jan 2001 and April 2001 blew away shorts in biblical fashion. Same thing happened in 1998, but I wasn't day trading then. Traders who run tight to margin while overleveraged, thinking they can control disaster while present at the screens will only be surprised once. My stop orders convert to market when touched, which ensures a complete exit somewhere on the scale of any market blowout.
Austin, what platform are you using that has this feature ? Why not just use a stop market ? I rarely experience much slippage on ES using them . Sr offers smart limit stop orders where you can adjust the parameters of how many seconds and how much slippage and if it times out without being filled it instantly convert to market but my thinking is if you want out you get out because if the market is blasting thru stops you don't want to wait seconds to see if it falls back. I was daytrading PMCS back during that surpise FED cut and was short and was watching island ecn when I saw a limit on the bid for 100k pop up before CNBC even announced it. I had never saw that much size ever on a limit so I threw in a market order to cover and got filled but the final result was a nice profit quickly disappearing in seconds.
<b>volente</b>, I use Ninja right now which offers stop-market orders on the exit. Unfortunately, I cannot for the life of me see where they allow stop-market (aka M.I.T.) orders to enter. Slippage is zero problem for me in the ES... unhit orders are the issue. If trying to enter long at 1400.00 and it doesn't hit the ask before flipping up to 1401 and higher, my order still sits there. In one case last week, I tried to buy 1386.00 and the market came down to 1386.25 as the low tick without filling, of course. Then went to 1393.50 or higher. Those are the trades which provide my overall edge... that's one we cannot miss very often. As for the disaster scenario exits per this thread topic, mine are stop-market orders. If hit or traded thru = across, I fill at the next available spot. Could be badly slipped in rare disaster circumstance, but that's why we trade with controlled margin positions.
Austin - it's b/c Ninja does not offer MIT orders. They have 'CIT', which is Chase If Touched. I have NO idea why you would want to CIT vs. MIT, but that's what Ninja offers. I attempted to ask them thru email why they are set up like this, but the person from Ninja was very rude and basically told me to take it or leave it. So, I left it and now use T4 from Mirus (they call it Dorman Direct). I believe you use Mirus, so you may want to take a look at it. Ask Eliot for a demo.
I just wanted to say that I totally appreciate the time you put into your chart examples shown here. I always fully understand what you are showing through your very clear examples.....very impressive! On to max against me per trade......I use a mechanical entry method of placed orders in a vertical scale covering 2 points of price, and my hard stop is one point below that (for my delta based trading). You could say that my entries are dynamic and not static in nature.