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Direct MessagesDate/Time: Sun, 08 Sep 2024 05:06:06 +0000
[User Discussion] - Stop loss(market) order getting converted into a Stop limit order!
View Count: 232
| [2024-07-05 14:29:39] |
| User763335 - Posts: 67 |
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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: 34254 |
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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: 67 |
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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 - 37 views Attachment Deleted. |
| [2024-07-05 19:06:33] |
| John - SC Support - Posts: 34254 |
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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: 67 |
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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: 495 |
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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: 67 |
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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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