Sometimes I will have a stop limit order in on an ES trade and the market will trade through the price without executing it, but then when I enter a limit order at the same price, after seeing the stop limit didn't execute, I get filled right away. This happens when I'm not trading the most liquid contract, which sometimes happens due to the dictates of my strategy. Why would this occur? I understand the contract is not actively traded, but if someone is putting a bid or an ask out there and it matches my stop limit price, why wouldn't that trade get executed? And why would it then execute as a regular limit order at the same price?
Who is your broker? Are the stops resting at the exchange or on your broker's servers? Certain types of advanced orders are managed by your broker.. ie. Trailing stops etc.
Global Futures. So they hold it on their servers and unless a transaction occurs at that price, they don't send it to the exchange?