What do you think of this (bad) fill?

Discussion in 'Order Execution' started by kxvid, Jun 2, 2009.

  1. kxvid


    I was short 2x YM pre market monday. I set my stop at 8593, and got filled 2 contracts filled at 8606.

    Now what gets me is that 2 contracts were both filled at 8606, a full 13 ticks north of my stop. I could understand if one contracted was filled at 8595 and another 8596 in a fast moving market. But both at such a high price? What do you think?
  2. You need to specify the exact time of the trades to get a proper answer. Just saying "pre market" is too wide a time frame.

    Looking at a chart I can see that at 02:11 EDT the YM had a 1 minute bar with a low of 8551 and high of 8606.

    And I can also see that at 03:11 EDT the YM had a 1 minute bar with a low of 8592 and high of 8612.

    Either one of those time periods could have produced your stop trade results in a thin YM market. You need to get time and sales to see the sequence of trades. For the 02:11 EDT time period there would have been other stops in front of your stop giving you the fill at 8606.