Now the main question here what is better price. I am talking here opening stop market order. NOT stop loss. Hence opening buy stop market better price would be price below the trigger price. here is an example and you tell me if i am wrong. consider following best ask 100 best bid 99 buy stop at 100 size 1. trade occurs at 100 size 1 buy stop triggered a. best ask had size 2 buy stop was converted to limit order at 100 and filled at 100 (because remaining qty at best ask was 1 at the moment of the triggering (considering there were no other stops at that level) b. best ask had size 1 buy stop was converted to limit at 101 (next available ask, because 100 was just bought out) and filled at 101. is this correct way of thinking stop market? if yes then for entry purpose the stop can be filled at trigger or worse (instead of 100 I opened long position at 101).. right? now the real question - could be there circumstances when such an order be filled at 99 or lower?