understanding slippage, runaway trades, on globex

Discussion in 'Index Futures' started by jmhunter, Oct 20, 2011.

  1. jmhunter


    So if I place a stop, say at 1200.. and suddenly the market slips to 1185, Am I guaranteed a fill at 1200, before the market can move to 1185?
  2. ASE1245


    No, stops never guarantee a price.
  3. jmhunter


    So the market can run by you if there isnt anyone on the otherside of your trade?
  4. ASE1245


    It's very simple. When your sell stop gets triggered, your stop order becomes a market order. Where ever the best bid is, should be your execution price. If you enter a stop limit, your stop order after being triggered will become a limit order at the price you entered. Stop limits don't have to receive an execution, and stop orders get an execution, but the price s unknown.
  5. Stop market order = when your price level is touched, your order becomes a market order. Stop at 1200 and price somehow drops a bunch quickly, you will exit at the current price. If you have a good connection and broker, it should not be too bad. Trading around news and all bets are off.

    Most platforms default to stop market orders b/c a stop should mean just get me out!!!

    A good example of your stop not being guaranteed in the least bit is to look at a daily stock chart with a big gap in it. People with stops in that 'gap area' will be triggered immediately on the open. No promises by anyone that your actual stop level be honored.

    In the ES during normal conditions, you should be fine. You may get a tick or two slippage, but nothing drastic usually.
  6. bone

    bone ET Sponsor

    You are guaranteed of nothing in trade execution. Even with a limit order specifying a generous pay-up tic range for execution at Market, if the market has been swept instantaneously beyond your fill range, then usually the limit order becomes a resting order at the extreme end of your specified fill range.

    From Trading Technologies:

    Placing Stop Orders

    MD Trader supports the Stop Market and Limit order types. In the case of the Stop Limit order, you also set the number of ticks from the stop entry price. Enable Stop orders in the MD Trading tab.

    Follow these procedures to place Stop orders in MD Trader:
    •Enabling the Stop Market feature
    •Enabling the Stop Limit feature
    •Setting a Stop Market Order
    •Setting a Stop Limit Order
  7. Connection and broker hae NOTHING to do with the execttion of a STOP - the stop order handling (triggering transfer to maarket order) on any sensible system is done on the exchange. Some trading systems do no do that ("simulated" or "Virtual" stop where the market order is entered when the price is hit with a certain volume or something forom the computer) but normal stops should on any sane system be submitted and handled by the exchange.
  8. ASE1245


    Stops are only handled at exchanges with an entity that will take responsibility for it, like the NYSE. So if your order is not routed to a specialist or market maker on the NYSE or NASDAQ, the you need a platform that will hold the order. If held by the platform, when the stop or stop limit is triggered, the platform changes the order to either a market or limit order. So, you need to use a broker that offers stop and stop limit orders though either their routing or their platform. The quality of the execution can change based on who gets the triggered order.
  9. jmhunter


    I'm fairly certain that Globex handles stops directly, based on my expirience, and considering that its an all electronic matcher.