Sometimes I will have a stop limit order in on an ES trade and the market will trade through the price without executing it, but then when I enter a limit order at the same price, after seeing the stop limit didn't execute, I get filled right away. This happens when I'm not trading the most liquid contract, which sometimes happens due to the dictates of my strategy. Why would this occur? I understand the contract is not actively traded, but if someone is putting a bid or an ask out there and it matches my stop limit price, why wouldn't that trade get executed? And why would it then execute as a regular limit order at the same price?
