A lot of traders feel the same way, however, when I want out, I want out and am willing to risk the slippage. For example, how many stops weren't filled when GS took the swan dive? You can bet many stop limits were passed right over. You may not have been happy with your initial fill, but I'm sure an long GS player was happy to be out a couple of points down the road.
It's possible that the sell stop order can be skipped, regardless of whether it is a market or limit stop. All it takes is for the bids to drop below your trigger price by cancelling their orders and widening the bid/ask spread. If there are no bidders at your trigger price, the stop will not be executed because the price will not hit the tape when people start sending market sell orders. Entering a sell limit stop order in this example would decrease the chances of getting filled much further. It's a rare event in liquid markets, but it can happen.
Yes, regardless of mkt stop order or limit stop order. it can NOT trigger. In case of mkt stop order, it's not skipping. It'll just not trigger if it moves too fast. once i had a mkt sell stop order for 200 shares on a $200 stock. with the earnings report, it fell 30 points in a heartbeat, I only got filled 15 shares(which was in the money by over 20 points). I called up tech support to claim the other 185 shares......but to no avail. This kinda BS happened twice for me.
Remember also that stops only work during regular market hours. If the stock runs down premarket past your stop you will not get filled.
I trade US equities during normal market hours. I trade about 3500 positions per year. On one or two occasions, I've had a stop order not execute, but in all cases, it was due to problems at my brokerage (Interactive Brokers) on simulated stop orders that my brokerage implements. Now (with that said), my brokerage supports what are called "stop trigger methods". There are various types of trigger methods (BID/ASK, DOUBLE BID/ASK, LAST, DOUBLE LAST, LAST OR BID/ASK, MID-POINT). Basically, this just enables the trader to adjust the sensitivity of a stop order. But, 99.9999% of the time, stop orders fire just fine and are turned into market orders at the appropriate time. Jason