Anyone who's done this? Ideally I like to use stop limits to get me in and out and if I'm holding a trade after hours, I'll be looking to get out, since I don't initiate trades after 6PM ET. Since I'm not trading huge size, I figure that the front-month contract always ought to be able to get filled on a stop limit, right?
At least with the execution platforms I am familiar with, you can specify a "payup tic range" for stop limit orders, which of course would be the preferred strategy for that type of order - especially in a thin market.
So, what does that send to the exchange, then? A limit order at your stop limit price and one at the price at the extreme of your payup range? You probably know what I mean, but basically I'm saying that if my limit price is 2.8 and my payup range is up to 2.85, if I don't get filled at 2.8, does the platform send a single limit order at 2.85 or does it try 2.81, 2.82, etc., up to 2.85? Then, if 2.85 didn't fill, I'm SOL? Which is fine, I'd just like to know more about the feature if you can respond.
At least the way TT works in that scenario is that it will try to get filled at the best price between 2.80 and 2.85 if you had set your limit for 2.8 and specified a pay-up amount of 0.05. If there are no orders there to fill your trade, your order rests at 2.85. So, if there was an order at 2.83 as the best price it would have filled you there. If there is nothing to cross in your specified range, it becomes a resting order working at the extreme end of the range ( 2.85 ). You obviously need to look at the order books during these market periods and make a reasonable and attainable decision on the pay-up tic limit range. You will not get filled if there is nothing there for the exchange to match it to. But at least it did not reach away a full point to satisfy a market order, either. TT can include implied pricing functionality - which tells you where you can get filled in order to satisfy a working exchange spread order. That can be very helpful with Nat Gas.
I wouldn't depend on a STOP-LIMIT to close an open position. You should probably use a regular stop for that. To initiate a position at a highly favorable price, STL or STWL are perfectly fine. There's good liquidity in NG after hours. What type of size are you looking to move?
Coming from trading the ES, I just want to think that there are other markets which at least give somewhat similar liquidity and can handle stop limits. I typically can babysit a trade anyway, so it's not as if I'm very far away and can't place a market order in an emergency, I just like the "hands off" approach that a stop limit can provide. I won't trade more than 5 contracts at a time at this point.
It's not that I want to risk it, I want to know the risk and consider the potential trade-offs, the primary one being do I want to have to watch a trade every second it's on or not. With the ES, I don't have to, but now that I'm branching out into other markets, my attention is going to inevitably be divided and I want to find out from traders with experience in these other markets what the execution risks are.
Well, the idea is not to get yourself f***ed in a very thin market. You don't want to pay up a full point on a stop market order in March 2015 Nat Gas at two o'clock in the morning. Six hours later, that market is going to be eight tics wide at the most. On the other hand, if he specifies ten payup tics for the limit, he might be doing the reasonable thing.