Stop Market
An order with a price type of
Stop Market is a market order that is
held by the exchange and inserted into an instrument‟s order book once that instrument trades at or worse than a specified price (the stop price). For example:
Sell 4 ESZ8.CME Stop Market at 1350.25
means that the CME will enter an order to sell 4 ESZ8 at the market into the ESZ8 order book when ESZ8 trades at a price of 1350.25 or lower. Similarly:
Buy 3 NQU8.CME Stop Market at 1816.75
means that the CME will enter an order to buy 3 NQU8 at the market into the NQU8 order book when NQU8 trades at the CME at a price of 1816.75 or higher.
When a stop is triggered the corresponding Market order becomes active. A stop is considered to have triggered when a instrument trades at or worse than the stop price (at or worse for a buy order means greater than or equal to the stop price, at or worse for a sell order means less than or equal to the stop price). When constructing a Stop Market order, the stop price for a buy order should be greater than the current trade price of the instrument; the stop price for a sell order should be less than the current trade price of the instrument. Otherwise the stops would trigger upon receipt of the Stop Market order by the exchange and the corresponding
Limit If Touched
An order with a price type of Limit If Touched is a limit order which is
held by R | Trade Execution Platform™ and submitted to the exchange once a particular price of a specified contract or instrument (the trigger symbol) meets a specified value (the trigger value). The trigger symbol need not be the same as the contract or instrument of the limit order. For example:
Buy 10 ESM8.CME at 1300.00 Limit if Touched, Bid Price of YMM8.CME >= 12300
means that R | Trade Execution Platform™ will submit a limit order to the CME to buy 10 contracts of ESM8 at a price of 1300.00, once the bid price of YMM8 at the CME meets or exceeds 12300.
The valid trigger conditions are:
The valid compare fields are:
!=
(not equal to)
Bid Price
<
(less than)
Last Price
(Last Trade Price)
<=
(less than or equal to)
Offer Price
(Ask Price)
=
(equal to)
>=
(greater than or equal to)
>
(greater than)
The trigger symbol and the contract or instrument to be traded need not be the same. Additionally, the trigger symbol need not be a tradable (real) contract or instrument. For example, if R | Trade Execution Platform™ provides real time index values or synthetic instrument price calculations, the symbols identifying such indices and/or synthetic instruments can be used as trigger symbols
Stop Limit
An order with a price type of Stop Limit is a limit order that is
held by the exchange and inserted into an instrument‟s order book once that instrument trades at or worse than a specified price (the stop price). For example:
Buy 6 ESU8.CME at 1300.25, Stop Limit at 1299.75
R | TRADER TRADER’S GUIDE
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means that the CME will enter an order to buy 6 ESU8 with a limit price of 1300.25 into the ESU8 order book when ESU8 trades at the CME at a price of 1299.75 or higher. Similarly:
Sell 7 NQM8.CME at 1825.00 Stop Limit at 1825.75
means that the CME will enter an order to sell 7 NQM8 with a limit price of 1825.00 into the NQM8 order book when NQM8 trades at the CME at a price of 1825.75 or lower.
When a stop is triggered the corresponding Limit order becomes active. A stop is considered to have triggered when an instrument trades at or worse than the stop price (at or worse for a buy order means greater than or equal to the stop price, at or worse for a sell order means less than or equal to the stop price). When constructing a Stop Limit order, the stop price for a buy order should be greater than the current trade price of the instrument and the limit price should be greater than or equal to the stop price; the stop price for a sell order should be less than the current trade price of the instrument and the limit price should be less than or equal to the stop price. If the stop price were less than or equal to the current trade price for a buy order, the stop would trigger upon receipt of the Stop Limit order by the exchange and the corresponding limit order would become active immediately. Similarly, if the stop price were greater than or equal to the current trade price for a sell order, the stop would trigger upon receipt of the Stop Limit order by the exchange and the corresponding limit order would become active immediately. Some exchanges may reject such Stop Limit orders.
Not all exchanges accept Stop Limit orders and not all exchanges accept Stop Market orders for all instruments. When a Stop Market order is not supported by an exchange R | Trade Execution Platform™ holds a Stop Market order until the stop triggers and then submits a Market order to the exchange. In contrast to an exchange (which usually compares a stop price with the last trade price), R | Trade Execution Platform™ considers a stop to have triggered when the offer price of the instrument in a buy order becomes greater than or equal to its stop price and, for a sell order, when the bid price of the instrument becomes less than or equal to its stop price. See below for a list of exchanges and other trading venues that do not support Stop Limit orders.
To step in here on this real quick, but stops shouldn't be in the exchange order book until they are triggered. It's only limit orders on the market depth and market orders on the T&S. So unless your broker/feed provider is sharing your stops, no one should be seeing them on the exchange side to feed them into an algo. Forex is a bit different but for futures, I'm pretty sure stops aren't available to others via the exchanges feed.
