Stop Loss Order Returns More Loss

algofy said:
Is there any difference beteeen regular stop orders and stops with protection?
More...
Read description on the CME website.

Market Order with Protection
Market orders with protection prevent market orders from being filled at extreme prices. Market orders with protection are filled within a pre-defined range of prices referred to as the protected range. For bid orders, protection points are added to the current best offer price to calculate the protection price limit. For offer orders, protection points are subtracted from the current best bid price.

CME Globex matches the order at the best available price level without exceeding the protection price limit. If the entire order cannot be filled within the protected range immediately, the unfilled quantity remains in the order book as a limit order at the limit of the protected range. Refer to the GCC Product Reference Sheet for a list of the "no cancel" ranges for products.

Example: Bid

The following example illustrates how the client interacts with CME Globex to process a market order with protection bid.

  1. The client sends a Market Order to CME Globex.
    • Bid, ESZ8, Market Order.
    • Best Offer = 90025 and Protection Points = 600.
    • Protection Price Limit = 90025 + 600 = 90625.
  2. CME Globex sends an Execution Report - Partial Fill.
    • 2-Lot @ 90025
  3. CME Globex sends an Execution Report - Partial Fill.
    • 3-Lot @ 90300
  4. CME Globex sends an Execution Report - Partial Fill.
    • 3-Lot @ 90550
  5. Next Best Offer = 90675. This value exceeds the protection price limit. CME Globex places the remaining quantity on the order book at a protection price limit of 90625.
 
Robert Morse said:
Read description on the CME website.

Market Order with Protection
Market orders with protection prevent market orders from being filled at extreme prices. Market orders with protection are filled within a pre-defined range of prices referred to as the protected range. For bid orders, protection points are added to the current best offer price to calculate the protection price limit. For offer orders, protection points are subtracted from the current best bid price.

CME Globex matches the order at the best available price level without exceeding the protection price limit. If the entire order cannot be filled within the protected range immediately, the unfilled quantity remains in the order book as a limit order at the limit of the protected range. Refer to the GCC Product Reference Sheet for a list of the "no cancel" ranges for products.

Example: Bid

The following example illustrates how the client interacts with CME Globex to process a market order with protection bid.

  1. The client sends a Market Order to CME Globex.
    • Bid, ESZ8, Market Order.
    • Best Offer = 90025 and Protection Points = 600.
    • Protection Price Limit = 90025 + 600 = 90625.
  2. CME Globex sends an Execution Report - Partial Fill.
    • 2-Lot @ 90025
  3. CME Globex sends an Execution Report - Partial Fill.
    • 3-Lot @ 90300
  4. CME Globex sends an Execution Report - Partial Fill.
    • 3-Lot @ 90550
  5. Next Best Offer = 90675. This value exceeds the protection price limit. CME Globex places the remaining quantity on the order book at a protection price limit of 90625.
More...
I went to the website prior and saw the stop with protection but didn't see a regular stop order type "without protection". I'm guessing all stops on cme are "with protection" and it sounds like it is pretty wide safety net. Please correct if I'm wrong.
 
Robert Morse said:
Paper trading has no slippage. Getting a fill at 50.47 with a 50.48 stop is very good. If i were you, I would play smaller until you get your system working with real trading. Nothing wrong with 1 lots for a while.
More...

Thank you Robert Morse for advice.

Yes, I reduce to 1 contract for now. Cause those stop loss orders take more loss and i was confused. It doesn't happen all the time, but it happen and was confused.

There was time I was going long at 50.24, I did not fill til 50.20.

So is this to be expected?

Thanks
 
SimpleMeLike said:
Thanks algofy,

I don't understand why if many others have their stop at my entry a few ticks slippage is normal. Can you explain please? Yes, this week CL move fast/

I am trading CTS T4 platform and TopStepTrader is my broker.
More...
Your stops should be at the exchange with rithmic (likely data feed with TST). Which is good, never want stops simulated on pc IMO.

So every price level has so many sellers (offers ) or buyers (bids). When there is an imbalance and more people stops trigger at a certain price and there aren't enough bids or offers at that price, some of the stops will execute at the "correct " price and others will get slipped until enough bids/offers ( passive liquidity ) are present to absorb the stops.

The reason slippage is more normal is certain areas (think right above important highs and lows) is because a lot more people likely have their stop there either to exit losing trades or play a breakout.
 
SimpleMeLike said:
Thank you Robert Morse for advice.

Yes, I reduce to 1 contract for now. Cause those stop loss orders take more loss and i was confused. It doesn't happen all the time, but it happen and was confused.

There was time I was going long at 50.24, I did not fill til 50.20.

So is this to be expected?

Thanks
More...
So you put a buy stop at 50.24 and ended up executing at 50.20? That is reverse slippage and abnormal.
 
algofy said:
Also for entry (not exit) you could use a stop limit where you specify how much slippage you are willing to take on entry or you pass on the trade. I trade allot of round turns a day in CL and most trades 0 or 1 tick slippage on exits. I only enter on limit orders.
More...

Thank you algofy,

I enter trades with a Stop Market so i am enter on the best market order.

Can I use a stop limit order for exiting where I protect myself for slippage and more loss? Rather then a stop market?
 
algofy said:
So you put a buy stop at 50.24 and ended up executing at 50.20? That is reverse slippage and abnormal.
More...

Sorry, use stop market to enter trades as well. I put in at 50.20 and order filled at 50.24. I can avoid this by using a stop limit order where i choose the range of ticks i will enter or bypass the trade.
 
You must log in or register to reply here.
Back
Top