For example: I enter a long at 900 with a profit target at 901 and a stop at 899. My profit target is entered (right after I get in the trade) as a sell limit 901 , stop is a stop market 899. My question is, what do you do when the trade reaches your profit target (901), trades a few hundred contracts at that price --but you don't get filled -- and then totally reverses on the next bar to get stopped out (899)? On a paper trade, this would be look like a successful trade .. but in reality it was a stop out. Should I exit at the market at the profit target and give up a tick everytime? Or just chalk it up to bad luck and deal with it ? Any thoughts or experience would be appreciated.