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Direct MessagesDate/Time: Mon, 16 Sep 2024 20:54:11 +0000
[User Discussion] - Stop loss(market) order getting converted into a Stop limit order!
View Count: 367
| [2024-07-05 14:29:39] |
| User763335 - Posts: 70 |
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Hello I had a test Trade Window configuration with 1 Target (Limit Order) and 1 Stop(Regular Stop (ie market)) order. This all worked fine in SIM, when assigning the trade window config and testing buy orders. When the Stop triggered, it executed as a regular stop loss(market) order,as expected. But when I tested this same config live today, I noticed the Stop order was set to a "Stop Limit" order, and not the regular "Stop" (ie Stop loss market) order...as shown in the same screenshot of "Trade Orders" window. When I go back to SIM and do another test order, with the same config, it works as expected(ie Stop orders were regular Stop orders and not "Stop limit" orders). You can see the executed Stop loss market orders for the SIM account in the attached "Trade Orders" window. Have attached screenshot of the Targets section of the "trade window configuration" used, showing the Order type: Stop:Stop. How do you explain this strange behavior, with the live orders?. Need, the Stop orders to be Stop Market orders ALWAYS. Thanks! |
Private File Private File |
| [2024-07-05 16:11:39] |
| John - SC Support - Posts: 34459 |
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Refer to the following: Order Types: Stop Orders on the CME For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-05 18:07:40] |
| User763335 - Posts: 70 |
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CME supports two types of STOP Orders. 1) Stop Limit Order. When a trade occurs at the trigger price, the stop order is triggered and becomes a Limit Order on the book. This is what you're referring to. 2) Stop Order with Protection. When a trade occurs at the trigger price, the Stop order is activated as a Market Order with Protection. The Protection point for Emini/Micro Emini futures is 3 points. Stop orders with protection prevent stop orders from being executed at extreme prices Pls refer to the following: https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/46727472/Order+Types+for+Futures+and+Options https://www.cmegroup.com/education/protection-functionality-for-market-and-stop-orders.html I'm referring to the "Stop Order with Protection", where it becomes a market order, limited by the pre-defined protection point..(attached screenshot from CMEGroup). In the screenshot I posted earlier(with my live trade), I do see the "Price 2" column of the "Stop Limit" order, being decremented by 3 points to $5595.75 from the Stop trigger price of $5598.75..Not sure if you're setting the Limit order based on the CME defined protection point of 3 points or some other criteria. So it seems SC doesnt support "Stop market orders with Protection" to be specified explicitly, even if CME explicitly identifies this to be a valid stop order type ...? but you're implementing a Stop limit order with Limit set , Protection point (3 points) away ? |
 2024-07-05_13-45-22.jpg / V - Attached On 2024-07-05 17:47:07 UTC - Size: 77.52 KB - 48 views Attachment Deleted. |
| [2024-07-05 19:06:33] |
| John - SC Support - Posts: 34459 |
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We do not have a "Stop Order with Protection" order type. Therefore you are sending a "Stop" to the exchange and the CME Group is changing it to a "Stop-Limit". Sierra Chart is NOT doing this - the exchange is.
For the most reliable, advanced, and zero cost futures order routing, use the Teton service: Sierra Chart Teton Futures Order Routing |
| [2024-07-06 15:50:23] |
| User763335 - Posts: 70 |
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Request SC to add this capability in the near future, as CME explicitly offers it, aside from the regular "Stop limit" order type. Traditionally "Stop limit" requires two prices, one the trigger price and the other limit price.In this case, you're getting a single input "Stop offset" for the stop order(Type Stop:stop) in trade-window-config/Targets and letting the exchange take over and we lose visibility. CME publishes the protection point value for each of the products in CME Globex Product Reference and we'd know exactly where the upper/lower boundaries would be for "Stop Order with Protection" and is the more conventional stop loss market order, but within the protection boundaries here. |
| [2024-07-06 16:21:46] |
| User431178 - Posts: 503 |
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@user763335 Are you sure this is not simply a terminology issue? Does the stop order sent to the exchange that converts to a 'stop-limit' not have the limit offset applied at the price protection range automatically? In other words it is a stop order with protection, just it is termed 'stop-limit' in the platform? Stop Limit Order. When a trade occurs at the trigger price, the stop order is triggered and becomes a Limit Order on the book. This is what you're referring to.
That is not my experience of how stop orders behave (despite them being marked 'stop-limit'), whereas orders actually entered by the user as stop-limit do behave as above.Stop orders with protection prevent stop orders from being executed at extreme prices
Yes, instead, it doesn't execute, but you are left with a limit order at the price protetcion limit, all the while price continues to move against you.Protection for orderly markets, but not so much protection for the trader (in certain circumstances). |
| [2024-07-06 17:16:27] |
| User763335 - Posts: 70 |
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@User431178 Yes, I suspect this to be a terminology issue., as I had implied on my post #3 above and is confusing new SC users like me .. ie seems to be actually implementing the "Stop Order with Protection" with protection boundaries[automatically by exchange for all stop loss orders] but calling it "Stop limit" order which typically operates between the stop trigger price and stop limit price,even as per CME's own definitions "Stop-limit orders are activated when an order's trigger price is traded in the market. After the trigger price is traded in the market, the order enters the order book as a limit order at the order limit price. The limit price is the highest/lowest price at which the stop order can be filled" .,.,.. Dont disagree with you on the actual "protection" offered ;-) When the price moves extreme beyond the range/bands, it all falls on the trader to manage position! All am asking to do is make things explicit, so we know what we're dealing with... Date Time Of Last Edit: 2024-07-06 18:40:15
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| [2024-09-11 21:14:49] |
| User98657 - Posts: 322 |
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This is not a terminology issue. The CME does offer two stop types, Stop Limit and Stop with Protection (or Stop Market). The latter is what most of us assume we're using when we select an order type of "Stop". The problem is, the order type currently being transmitted to the CME is coded, or tagged (I'm not sure what the explicit nomenclature would be) as an order type that is converted to Stop Limit. What we need is support to submit the alternate order type "Stop with protection". And yes, there is a band within which that now "Market" order needs to be triggered, which is referred to as the Non-reviewable band. Looking it up today I find that the band on the NQ is 12 points. Had this been the Stop order I was using last week and again today there would have been plenty of liquidity within that range to take me out of the trade. Instead my "limit" gets rejected because it is above the market. I was stung a second time by this today because I simply didn't realize I wasn't using a Stop Market order. I'm asking SC to provide support to implement the Stop with Protection order type, and I'm hoping this is seen as an issue that requires improvement. I know many traders, especially newer traders, don't even understand the differences between many order types. But I'm also assuming many, if not most, are under the assumption that when they choose the order type "Stop", that it is actually a protective Stop. In our current situation it simply is not. The SC documentation on the Order Type "Stop" does not provide this information, so there's no way anyone should really know that this is the case. And using a Triggered Limit, as is offered as a workaround, would, in my opinion, open us up to even more jeopardy. A Triggered Limit is a client-side resting order. So that "Limit" order isn't even sent the exchange until your chart sees the touch. That's an eternity in a fast moving market. That Limit would almost certainly be above the current market price, and I would expect it to get rejected almost all of the time. Again, like I said, hopefully SC sees this as something that needs to be addressed. When they do, they are very good about getting it taken care of. Date Time Of Last Edit: 2024-09-11 21:19:14
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| [2024-09-11 22:00:09] |
| User431178 - Posts: 503 |
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instead my "limit" gets rejected because it is above the market.
So in the period of time between your entry order being filled and the stop order being sent to the exchange price moved beyond where your stop would've been? |
| [2024-09-11 22:11:15] |
| User98657 - Posts: 322 |
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Not exactly. The stop is sitting at the exchange, but it is waiting to be triggered. Once triggered it is entered as a "limit" order (in the case we're discussing). In these instances, the market is moving so fast that time between getting triggered and set as a limit, yes, the market has moved through that price and the now "limit" order is being rejected because it is above/below market price. |
| [2024-09-12 07:40:55] |
| User431178 - Posts: 503 |
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Not exactly. The stop is sitting at the exchange, but it is waiting to be triggered.
So what was the status of the stop order before it was rejected, pending or open?
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| [2024-09-12 11:40:20] |
| User98657 - Posts: 322 |
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https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSANDBOX/pages/46727472/Order+Types+for+Futures+and+Options#OrderTypesforFuturesandOptions-StopOrderwithProtection
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| [2024-09-12 11:44:33] |
| User98657 - Posts: 322 |
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I have this question going on with SC support in another thread. They have indicated that even if they provided support for the Stop with Protection, the CME will convert the Stop Markt to a Stop Limit. I have requested confirmation of that, just to be sure I'm not misinterpreting what they're saying. If that's the case, the question then goes to the CME and why their documentation indicates they support the Stop with Protection when they apparently do not. I'll update the thread when if/when I get more. Date Time Of Last Edit: 2024-09-12 11:45:21
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| [2024-09-12 12:44:07] |
| User431178 - Posts: 503 |
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Yes, that's all well and good, but the question remains, what was the status of your stop order prior to rejection? Let me put it another way, I have never had an open stop order rejected. Maybe you'll get the clarity you need elsewhere. Date Time Of Last Edit: 2024-09-12 12:54:58
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| [2024-09-13 03:37:47] |
| User61168 - Posts: 394 |
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Question in my mind after reading this thread remains - “can my stop order ever be rejected by CME?” All my stops are via Flatten using trading system via simple alert study. I don’t use any attach orders via trade ticket. To minimize risk further, my alert condition logic uses brute force on every tick if the order for any reason does not reduce my open position size by order qty used in the trade ticket. When I use flatter as timestops after hh:mm:SS, it also employs brute force to triggering flatten command on every tick until position quantity is reduced to 0. This way, I can’t think of any reason to worry. I also dont check or be concerned with slippage as flatten/close all at any cost and at any available price on the next tick is a top priority for me especially during session close to prevent overnight maintenance margin. My take profit is also a stop/reverse order in most cases via simple alert study. I think I am good and covered in just about any unforeseen scenario but please let me know if I am overlooking any unique scenario to get burnt by the complex rules of CME exchange. I would appreciate it Date Time Of Last Edit: 2024-09-13 03:40:33
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