"Something Disturbing Happened" - Words Of Warning from futures trader
- Thread starter platvis23
- Start date
not so sure about that, over where I trade things get really crazy anytime the fed or ecb burps. You may want to get out at a reasonable loss, but may even want to get in if they are going to get that crazy.
what would that be? Sell Stop Limit with attached Buy Limit OCA?
what would that be? Sell Stop Limit with attached Buy Limit OCA?
A stop limit order is just a limit order with a stop that triggers the limit. If the limit is marketable it functions *like* a market based stop. However, this distance between what the best bid/ask is and the limit itself is where price banding gets involved. For instance, if you have a stop limit buy order that gets triggered, of which you prearranged with 10 ticks of payup, it won't be an issue. However, if you were to set the payup to be 100 ticks, it'll get rejected when the stop is triggered because that's outside the band in most cases. Why set any payup at all? Because maybe you don't want to have your limit sitting there when the instrument skips over you during periods of high vol. In this case payup would be "stop limit buy, stop/aux: 2080, limit: 2084" - if 2080 is hit, send a limit buy for 2084 (which will of course execute at 2080.25 if the market is 2080/2080.25).
With CME atleast, when you send a market stop it gets converted to a stop with protection which is really what everyone just wants to use anyway for tight/liquid instruments. Some people use stop limits in all cases. I do, because IB holds stop market orders on their servers (check the blue color, that means it's on their servers) and based on a few cases last year where I got my face kicked in by 10-40 ticks of slippage in crude and gold smash and grabs, I prefer my orders to sit at the exchange in all cases (which a stop limit will, as it's native) so there's one less round trip (and btw it *has* made a difference in some cases).
In other cases, when you're dealing with instruments which might be as tight or liquid or usually have a spread, one might desire to set their limit to not have any pay up but instead go mid-point if the stop is triggered. While there's no way to determine mid at that time, a few ticks or so might be what is desired - a few ticks meaning: if my stop is hit, I'll have the limit be 3 ticks back from what I would have payed if I hit just hit the bid/ask.
With CME atleast, when you send a market stop it gets converted to a stop with protection which is really what everyone just wants to use anyway for tight/liquid instruments. Some people use stop limits in all cases. I do, because IB holds stop market orders on their servers (check the blue color, that means it's on their servers) and based on a few cases last year where I got my face kicked in by 10-40 ticks of slippage in crude and gold smash and grabs, I prefer my orders to sit at the exchange in all cases (which a stop limit will, as it's native) so there's one less round trip (and btw it *has* made a difference in some cases).
In other cases, when you're dealing with instruments which might be as tight or liquid or usually have a spread, one might desire to set their limit to not have any pay up but instead go mid-point if the stop is triggered. While there's no way to determine mid at that time, a few ticks or so might be what is desired - a few ticks meaning: if my stop is hit, I'll have the limit be 3 ticks back from what I would have payed if I hit just hit the bid/ask.
Never used IB and don't know much about them, but just wondering why can't they submit your stop market orders to rest on Globex?
Because Globex doesn't have native stop orders. It only has stop limit and stop with protect, not stop market orders. The workaround it to use stop limits to emulate stop market orders but the real solution is for IB to simply use a stop protect order which is basically a marketable stop limit with price banding limits handled by the exchange.
I don't quite understand this. Can you provide an example ?
IB doesn't support this type of order, correct ?
They actually do, you use "STOP PRT", the problem is my front end doesn't support it.
https://www.danielstrading.com/stra...-stops-become-limit-orders-on-cme-globex-ice/
Sorry, I should have explained myself better. I understand the workings of Globex. I trade on it hundreds of times a day and submit stop market orders which rest at the exchange without any problem. Does IB seriously not offer this option? If not then I am utterly bewildered as to why.
I think there is some confusion here too. The protection logic actually applies to Globex market orders (see Globex Ref Guide pg11). It is irrelevant if the market order was triggered by a stop or not. Market orders manually submitted to Globex are subject to exactly the same protection logic as stop market orders. You gain nothing by having a stop market order rest on an IB server rather than at the exchange. You are however likely to lose out since a market order triggered by IB is going to be late to the party compared to a market order triggered by the Globex matching engine.
FWIF I think their protection logic on market orders is sensible to prevent undesirable cascades in extreme market conditions.