I have been using stop/market almost exclusively (especially on long position) because I want to protect against *catastrophic* loss. Stop/limit would likely not get filled if market drops real fast on a sudden news (e.g. 911), would it? In hundreds of stops I have had with IB in past few months, only once I didn't get the fill at the stop price. That one time was just one tick worse than the stop. Not sure what you mean when you say market orders are not "native "to Globlex.
CME / Globex supports Market with Protection for Futures and NOT options. Market orders at CME Group are implemented using a âMarket with Protectionâ approach. Unlike a conventional Market order, where customers are at risk of having their orders filled at extreme prices, Market with Protection orders are filled within a predefined range of prices (the protected range). The protected range is typically the current best bid or offer, plus or minus 50 percent of the productâs No Bust Range. If the entire order cannot be filled within the protected range, the unfilled quantity remains on the book as a Limit order at the limit of the protected range. http://www.cmegroup.com/globex/files/GlobexRefGd.pdf
Thanks for that info. It has been a while since I traded on Globex. I see that IB offers "Market with Protection", but I don't see "Stop with Protection". Stop orders on IB: http://www.interactivebrokers.com/en/trading/orders/stop.php?ib_entity=llc There is a maximum you may specify between the stop price and the limit price. I don't remember what it is, but I seem to recall it is about 5 points. It would be an unusual move that would trigger a stop and not have bids/offers within the limit.
The last time I checked with the CME a few months back, the maximum "spread" between the stop and limit was 12 points. It changes periodically. I remember being able to have a 20 point spread between the stop and limit price. If you enter a spread larger than the maximum, your order will not be accepted.