@Robert Morse, what if it was a GTC order instead of DAY order? And at what percent distance does your SW reject the order? Will the rejection happen only instantly when submitting the order, or can it happen also sometime later when the conditions hit the first time?
Why would you send a GTC order with a limit though the ASK? The result is the same. I think we use the NYSE/NASDAQ limits which are about 7% pre/post market and 10% during market hours. I do not have the exact barrier. The order gets blocked with our risk checks before going to market. How would your last question work? Remember, these are limit orders through the ask. If your question is " If a stock is trading at 50.00, and I enter a GTC order to buy 100 shares at 45, and on the open the stock drops and opens at 35, will the 45 bid get cancelled or filled on the open at 35, I have no idea. Sometimes to know 100%, we need to test with a live order. We are not going to test that one.