Fast market Lesson: Stops can get rejected

Yeah, just quirk/oversight on my part. Googling around, other people have had similar issues with ninja trader.

I'll look at my timestamps more thoroughly later, and post here
 
IAS_LLC said:
So my trading platform/system was trading for the first time in a fast market today (I shut it down for the last couple of days, out of fear). Market taught me a lesson, and exposed a flaw in my execution logic: The market will reject stop orders if the market is already below the stop price, leaving a position un-hedged. I should have known this.... but I didn't, and almost got bit. Fortunately, I was paying attention and was able to manually step in quickly and turned a 80 tick loss into a 20 tick gain (via luck, not skill).

Moral of the story.... be careful out there, especially when you're auto-trading and your system is walking into unfamiliar territory.
More...

You mean a stop limit order or a regular stop order at the market?
Traderjohnsblog said:
Not necessarily. A fast market can jump a stoploss order. Even a stop loss needs a counter party to trade with. If everyone is running for the hills and price has moved far from your stop it may never fill.
More...

A stop limit or a stop at market?
 
If you want to sell something, there must be buyer.

unfortunately during such market, there are lots of sellers and very few buyers.
if you set a typical stop order, your position will be closed at terrible slippage.
if you set a stop limit order, your position will most likely not be closed.

it is not trading platform related.
 
Timestamps below are in seconds since beginning of epoch (local machine time..my latency to rithmic appears to be about 30ms... I'm in Arizona):

OMS Traffic:

1517933323.066: Bracketed Limit Buy to Open order send at price $6480.00 (target and stop rest on Rithmic)
1517933323.137: Limit Buy to Open Acknowledged (Exg Timestamp: 1517933323.110)
1517933350.981: Limit Buy to Open Fill Message (1517933350.953)
1517933350.984: Limit Sell (target $6481.25) Ack'd (1517933350.956)
1517933350.984: Stop Sell (trigger $6479.50) Rejd (message text: Sell order stop price must be below last trade price ) (1517933350.956)


Trade Data Traffic (red COULD be my opening fill) :

Payload structure: [Instrument TradeSize TradePrice RithmicSboe RithmicUsecs ExgSsboe ExgUsec]

LocalSsboe,Payload
1517933350.034,"NQH8 1 6480 1517933350 8800 1 1517933350 8326"
1517933350.048,"NQH8 1 6480.5 1517933350 23211 1 1517933350 22991"
1517933350.983,"NQH8 1 6480 1517933350 952640 1 1517933350 952360"
1517933351.0,"NQH8 1 6480 1517933350 953472 1 1517933350 953085"
1517933351.0,"NQH8 1 6480 1517933350 953472 1 1517933350 953085"
1517933351.0,"NQH8 1 6480 1517933350 953472 1 1517933350 953085"
1517933351.009,"NQH8 1 6480 1517933350 953718 1 1517933350 953297"
1517933351.009,"NQH8 1 6480 1517933350 953718 1 1517933350 953297"
1517933351.012,"NQH8 4 6480 1517933350 953905 1 1517933350 953461"
1517933351.012,"NQH8 5 6480 1517933350 953905 1 1517933350 953461"
1517933351.013,"NQH8 1 6480 1517933350 953905 1 1517933350 953461"
1517933351.017,"NQH8 5 6479.75 1517933350 954682 1 1517933350 954097"
1517933351.017,"NQH8 1 6479.75 1517933350 954682 1 1517933350 954097"
1517933351.017,"NQH8 1 6479.75 1517933350 954699 1 1517933350 954097"
1517933351.017,"NQH8 1 6479.25 1517933350 954699 1 1517933350 954097"
---My Bracket Legs hit the exchange in this time window...after market has traded below stop--
1517933351.038,"NQH8 3 6479 1517933350 981468 1 1517933350 981184"
1517933351.038,"NQH8 1 6479 1517933350 981489 1 1517933350 981184"
1517933351.038,"NQH8 1 6479 1517933350 981489 1 1517933350 981184"
1517933351.042,"NQH8 1 6478.75 1517933350 984482 1 1517933350 984222"
1517933351.042,"NQH8 1 6478.75 1517933350 984482 1 1517933350 984222"
1517933351.042,"NQH8 1 6478.75 1517933350 984482 1 1517933350 984222"
1517933351.042,"NQH8 1 6478.75 1517933350 984482 1 1517933350 984222"
1517933351.119,"NQH8 1 6478.75 1517933351 4646 1 1517933351 4443"
1517933351.135,"NQH8 1 6479.5 1517933351 6566 1 1517933351 6268"
1517933351.366,"NQH8 1 6479.25 1517933351 341931 1 1517933351 341694"
1517933351.388,"NQH8 1 6479 1517933351 363937 1 1517933351 363706"
1517933351.388,"NQH8 1 6479 1517933351 363937 1 1517933351 363706"
1517933351.43,"NQH8 1 6478 1517933351 404434 1 1517933351 403956"
1517933351.43,"NQH8 1 6478 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6478 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 2 6477.75 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477.5 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477.5 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477.25 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477.25 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477 1517933351 404443 1 1517933351 403956"
1517933351.43,"NQH8 1 6477 1517933351 404443 1 1517933351 403956"
 
Last edited:
maxinger said:
If you want to sell something, there must be buyer.

unfortunately during such market, there are lots of sellers and very few buyers.
if you set a typical stop order, your position will be closed at terrible slippage.
if you set a stop limit order, your position will most likely not be closed.

it is not trading platform related.
More...

Note that this was NOT slippage, as the stop order was rejected by the exchange. It wasnt necessarily a platform error either.... I'm the trader and the platform programmer... so either way, the fault is my own. I misunderstood how a stop order would be handled in a fast market.... but... I wont do that again.
 
IAS_LLC said:
Nah, I'd prefer this to low vol. Just gotta recalibrate myself for the new normal
More...
My last attempt...again maybe I'm missing something....you attempted to put a stop in after the threshold had been passed. Ie: price at 50. You want to put a stop at 48. Oops , fast market price at 45. System rejects my 48 stop. Of course it will, price is at 45. There is nothing to stop, horse is out of the barn. I think you are missing the forest for the trees, if I understand your OP.
 
Last edited:
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