You have two choices, either place a buy-stop at 915 knowing that it sits on the IB server, get's triggered at 915 and then sent to Globex (as a limit order according to IB's algorithm). Or you can place a buy-stop-limit at 915/920 (the second number is up to you, depends on your comfort level, as it will cap the "buy" and might possibly get exceeded in a very fast market). The advantage of the second method is that it sits on the Globex server, is triggered there at 915 (instead of at IB), etc. The disadvatage is that it's more time-consuming to setup, a little more confusing on IB's order line, and more time-consuming to tweak during the life of the trade. Personally I've yet to have a problem with the simple buy-stops but one never knows....
When using stop limits to get out of a position, set the limit really far away to make sure you're out. And no, you won't get a bad fill. It amazes me how many people say "it blew by my stop" and end up losing a ton of money; yet these same folks refuse to put on a wide limit. Remember, a market order is the same thing as a limit of infinity. So, if you want maximum speed and certainty of exiting the position, use stop/limits with the limit price set far away. It is impossible (other than a system failure) in an electronic market to be taken advantage of doing this. I do it everyday, and have never had a bad thing happen.
I concur with Bundlemaker. You will make up in better fill prices any downside risk in the long run (I believe). It might be milliseconds of difference in time between a stop market and stop limit's execution, but in a fast market that can be multiple ticks.
Quote from onelot: On Friday, 12/13/02 I had problems with stop orders not getting sent to the globex for some time after price had hit my price level. For instance I had an order in to buy at 901.25 ES and after price hit the stop the order indicator didn't turn green for 1 minute and then finally it was sent and I was filled immediately. Assuming that you weren't actually predicting the future -)), would you tell us the exact details of the trade please, including the date and time, whether it was STOP MKT or STOP LMT (and the stop and limit prices), etc.?
oops... i meant to say 12/06/02... i'll have to edit that ... oops guess you can't edit after 60 minutes, oh well... the orders were definitely placed last friday not this coming friday all trades were stop markets. the buy stop price was set at 901.25. price hit the stop at 9:55:24. the order was filled at 09:56:14 at 901.50 on the way back down from 902.00. here is a tick chart illustrating the price movement:
...don't seem to work very well. I'm going to use stop, limit, and stop-limit orders from now on. I've had good fast fills with limit and stop orders (this is trading the e-minis), but the market orders suck. I've watched in amazement as the orders roll by and the market order at IB just sits there. Don't know what the problem is but they are broken as far as I'm concerned. gs