Yes...this has all been discussed and acknowledged. My assumption was that since the market was below my stop trigger that it would have simply been treated as a market order...this proved to be false.
I don't think there's such thing as market order at CME. Must have been stop with protection. https://www.cmegroup.com/confluence...d+Options?desktop=true¯oName=multiexcerpt
There are stop-orders for futures: Stop Order Notes The stop order's trigger price is validated differently depending on the market state. During the Continuous market state, a Buy stop order must be > last trade price and a Sell stop order must be < last trade price. Absent a last trade price, the settlement price is used. During the Pre-Open and No Cancel market states, a Buy stop order must be > settlement price and a Sell stop order must be < settlement price. 2nd bullet is exactly my issue. I sent a bracket to Rithmic, my opening limit rested on the exchange and the legs of my bracket rested on rithmics servers until the open was filled. Once rithmic got confirmation of the fill, they sent my target and stop to the exchange. 1-2 milliseconds is all it took for me to miss. I didn't anticipate this being an issue, but I should have.
Yeah, that's why I prefer to code these things (bracket, OCO, etc) myself. Want to rely on providers as little as possible(data and/or execution only). Lots of unexpected things happen during fast markets. This way if something happens, at least it will be my fault which is easier to digest . Definitely smart for you to have been watching ... I guess I won't be trading from the beach anytime soon.
I used to handle the bracket fully on my machine with my software, but decided it was safer to rest thing on a larger entitites server (rithmics), as they are more robust to power/network outages than I am.
Your stop is too tight, even for calm markets. You would have to time the market perfectly on every trade. What do you think the chances are of that happening? Probably not much more than .0077%. Which is the size of your stop compared to the price of the NQ.
This is a crazy strategy. I just saw your limit order. Any trading strategy needs to be aligned with the volatility of the financial instrument. Your strategy attempts to avoid risk, which will never work. There is no reward without risk. You must embrace risk, then go from there