On Oct 16th, 2008 I had an order in to Sell 1 Dec ES at 914.75 Stop. At about 08:23:12 EDT a big seller came in and hit the ES with pretty good size. I got filled at 913.50. That's 1.25 point slippage. That the most slippage I've ever had on the ES. Often no slippage or 0.25 slippage on stop orders. Before today, I think 0.50 was the most slippage I've had on an ES Stop fill. If anybody has ES time and sales, I'd be interested to know what size the seller hit the market with to wack it down like that, even for a split second.
Sounds like you got gapped inside tradeable range. http://elitetrader.com/vb/showthread.php?s=&postid=2122486#post2122486