It may not be the exact price I entered if the price suddenly jumps. For example, if I enter a buy order of ES at 1000, the price jumps down to 999.75, the limit order may be excecuted at that point. I mean to buy ONLY at a price, not more not less.
Use a limit order. If you get price "improvement", just send me the difference. This way, you are guaranteed to ALWAYS get your price!
If the price touched 1000 so the stop-limit order is activated but there are other orders in front of mine and they are executed, then the price drops down to 999.75 and my orders are still waiting. Is there still a chance that my order may be executed at other price?
Actually, a buy stop-limit will still potentially get you in at a lower price if the market declines once the stop price has been reached. But I'm not sure why that would be a problem.
It might be, but it shouldn't be. If it is, you can complain. 1000 is 1000. Just make sure you enter the order correctly. Of course, your order may not be filled at all. But that's the price of using a stop-limit.