Stop Loss Fills During the Flash Crash

Discussion in 'Order Execution' started by BCE, Sep 20, 2010.

  1. BCE

    BCE

    I was just wondering what peoples experiences were with being long and getting your stop loss order filled or not during the Flash Crash. What type of stop loss order were you using? Was anyone using NinjaTrader with the Zen-Fire feed? If not which platfrom were you using? Even last Friday TF took a pretty good initial tumble on the Michigan Sentiment report. Did anyone have their stop loss order not get filled or filled at a bad price during that selloff? Thanks.
     
  2. emg

    emg

    that is because u are using unfiltered data feed. unfiltered data feed will get u bad filled
     
  3. BCE

    BCE

    Thanks. Anyone else's experience?
     
  4. There is no relation between stop fills and the datafeed, unless your stop is simulated by your computer's trading platorm.

    Stops should be native and held at the exchange.
     
  5. emg

    emg

    there is, between filtered and unfiltered data.
     
  6. Of course there is if you're stupid enough to have a simulated stop loss held on your computer.

    But then you should also worry about your computer stability, power outages, internet going down, your broker's server connectivity.... etc

    Save the headache and use native stops.
     
  7. BCE

    BCE

    Can you please explain this? Thanks.
     
  8. BCE

    BCE

    Still wondering about this original question. What were your experiences with stop loss orders during the Flash Crash or any similar events? Were you filled or not filled and what kind of fill did you get?
     
  9. schizo

    schizo

    While you sound genuine, I really think your question is quite silly. That's because your stop will not get filled at your desired price anyway. On the day of flash crash, the spread in ES was 10 handles wide (that's 10 points!). Unless you used a STOP MARKET order (ie. those who got the margin call), there's no friggin' way that your stop would have gotten hit.
     
  10. Your stop gets raped - isnt that sort of obvious?

    I guess even worse was the bund fatfinger in March 2008, a 2% move (400 pts) in 4 seconds, that was a bit faster. That did put a few people in the red (and made some others a shitload of dough). As a shortterm trader, there isn't really much you can do about it. Its a bit like in a war - be in the wrong place at the wrong time, and you get smoked. On the bright side, if you happen to be on the right side of some tosser getting a few to many zeros, you can make a boatload. So i guess it evens out:)
     
    #10     Sep 20, 2010