Yup that's called slippage. It's because your stop-loss order is a market order. It's saying as soon as the price hits this stop-loss price, I want to buy/sell all of the positions but the problem is the price gaps, when the price hits your stop-loss price, it doesn't necessarily hits your stop-loss price exactly, many times by the time it reaches your stop-loss price, the price ended up much lower than your stop-loss price and because the price is now below your stop-loss price, your stop-loss gets triggered and your position gets taken out, at a price much worse than your stop-loss. It's not market manipulation. It's just how the price moves. So one thing you can do to mitigate this is to set a what's a stop-limit order. In this type of order, you set up two prices, a stop-loss price at which you want the stop-loss to be triggered in case the market moves against you and also a limit price at which the lowest price that you would accept to have your position taken out so that way when the price moves too low your position won't get taken out. So you are protected a bit from slippage. But the problem with the stop-limit order is your stop won't get triggered at all in that you won't be guaranteed that your position will be taken out when the market is moving really fast with a strong trend against you and you may end up with an even bigger loss if the market never bounces back. With the stop-loss, yes you will get slippage but at least your position would be guaranteed to be taken out in adverse market conditions. With stop-limit order, you get protected against slippages but your position is not 100% protected against adverse market conditions. So you will have to decide which one is more suitable for you.
It seems like when you Longed ES, ES was still on the downtrend. And there was no indication that ES was reversing direction to go up. Rapid movement at the end of the trend (around the time you entered the trade) is common. I see that almost every day while trading various index, commodities, precious metals ... futures. Gold futures tends to have this behavior.
jnbadger and schizo explained what happend here. It is the same every day. Around the HOD and LOD there are usually the strongest pushes. It is like in real life, in war many times the heaviest battles are around the frontiers. And especially if the HOD or LOD is at such round numbers like 6000 points. Lots of market participants have taken position around this point, lots of orders and positions are ready to fire. So it is pretty sure that in these areas you can expect a heavy battle which means movement, you just dont know if it will breakout through that area or bounce back, you can just be pretty sure that whatever way it will go, it will be a pretty hefty move. For LOD and 6000 mark, the reaction was not that strong, could have been much violent. jnbadger mentioned it: it's incredibly stupid to buy near support and set a stop below it, at such a mark. Better wait for the market to push through and then step in if you are fast enough to react to such a move, or place a few limit orders a few points below that area. The idea is to provide liquidity to the market in such situations, and get compensated for that.
Even with market orders there is a queue. SLPs see & model both lit and dark markets and widen the spread when volatility rises.
Yeah that's all great from hindsight. You won't know the HOD and the LOD until the end of the day and then you can draw a line on the chart showing the peak and the trough. But atm when you are setting the stops and/or when the stops were triggered, you don't know whether they were due to them being the HOD or LOD. Futures are supposed to be traded on centralized exchanges where there is no PFOF which means nobody has any access to any books to see any stops or tp orders unlike in other markets where MM's can pay to get orders and can see where all the orders are so there shouldn't be any stop-hunting or "driving out the weak hands" and etc. All those HOD's or LOD's could very well be breakouts or continuation of trends. HOW do you know those points are where the orders congregate? How do you know those are reversal levels? What if they change? Tomorrow if you don't set a stop there and the market breaks out from those levels that you thought are supposed to be reversal levels, you are screwed. That's how accounts are blown. Remember we are retail traders. We do not have bailouts. When we blow our accounts, that's it for us.
I did make more in the rally that followed than I lost on this trade so it did not ruin my day. As someone else mentioned "it does happen several times a day" and you can clearly see it on the delta volume charts as the bars just fill and click across your screen. It usually happens in the direction of the short term trend and I should not have been long here as someone correctly noticed. This is the first time I have had a stop totally doubled on me though and I had a few choice words for whoever did this to me.