Question Regarding Stop Limit Orders

Discussion in 'Order Execution' started by Scipio, Jan 26, 2011.

  1. Scipio


    I recently started trading a new intraday method and have experienced quite a bit of slippage at my entry due to poor liquidity. Testing has determined that my system should remain profitable if I enter earlier into the move, so one thought I had was to enter on a stop limit using the early entry/original entry as my stop and limit points respectively. My thinking was that this would cap my slippage so that the worst case would still be within my original system parameters.

    The question I have is that given that the limit price is publically visible (so I am told by my broker), would I expect to see all offers between my stop and limit prices suddenly disappear and respost at the limit price? In other words, would this type of order in essence guarantee that I would end up being filled at my limit price and not inbetween the stop and limit?

    If my HFT fueled paranoia is true, the most logical course of action would be to cut my position size down or just trade another more liquid stock but I was interested in what some more experienced intraday traders might have to say on the matter.

    Thanks for the input.

  2. AFAIK, the limit price becomes visible only once the stop has been triggered.
  3. Scipio


    Given that this is the case, would that still give HFT algos (which I presume operate in miliseconds), time to adjust to this now visible limit price? In the example I am thinking of, the difference between my stop and limit prices was around 15 cents.

    Thanks again for the insight.

  4. No.