Stop gapped

[jayofner]

I am curious about the possibility of a stop being gapped or skipped where the market can pass through the stop and ignore it. My broker is saying this is possible, with a strategy that I employ during news reports. Specifically I have a strategy that sets up a bracket trade about 3 sec before a news report then when one side of the bracket fills on the spike from the news reaction, it has a stop loss apply with an ATM strategy, after which the other side of the bracket is cancelled via OCO logic. So there is a very brief amount of time when the opposite side of the bracket is pending (providing stop protection) before the OCO removes it and the stop loss is applied, but never a period without protection. Is it possible for the market to reverse and pass through the stops without filling (these are not limit orders) with this continuous stop coverage?

[sledge]

I am curious about the possibility of a stop being gapped or skipped where the market can pass through the stop and ignore it. My broker is saying this is possible, with a strategy that I employ during news reports. Specifically I have a strategy that sets up a bracket trade about 3 sec before a news report then when one side of the bracket fills on the spike from the news reaction, it has a stop loss apply with an ATM strategy, after which the other side of the bracket is cancelled via OCO logic. So there is a very brief amount of time when the opposite side of the bracket is pending (providing stop protection) before the OCO removes it and the stop loss is applied, but never a period without protection. Is it possible for the market to reverse and pass through the stops without filling (these are not limit orders) with this continuous stop coverage?

Ummm, who is your provider and what feed are you using?

FYI - I have Dorman and Zenfire....

I was denied a market order after a major news announcement at 8:30 am...(through chart trader).

I forget the exact wording reported by NT, but my market order was rejected. It was probably like 2 ES contracts.

So much for 24x7 or whatever trading.

[jayofner]

I am using Vision Financial as my broker and Rithmic for the feed.

I am not talking about the initial fill, I have no issues there. The bracket is on the chart before it makes its big move. I was understanding the stop order to be like an anchor. It may drag on the bottom for some distance (slippage), but it will eventually hold.

[NinjaTrader_Lance]

Are you using an unmanaged script to place these orders or are you manually placing the two ATM strategies as OCO?

If you're manually placing the ATM strategies, by default your stop loss will use a stop limit order with a 20 tick offset. You can change this by going into the order entry properties and change the property: "use stop market for stop loss orders" to True

[jayofner]

Lance,

I am not sure about the "unmanaged script", but the ATM strategies are setup in advance, then automatically applied in conjunction with the strategy script. So when the bracket order is activated, the long order has an activated ATM strategy, and the short order has another activated strategy. When either entry is filled, the ATM strategy for that entry applies to set up the stop loss, then the opposite entry is OCO'd.

The Use stop market for stop loss orders is set to "True".

[NinjaTrader_Lance]

I was asking about the Unmanaged part because an OCO entry (not exit) is only possible with NinjaScript when using unmanaged: http://www.ninjatrader.com/support/h...d_approach.htm

I will need to verify with my colleagues which window's stop loss type gets used when calling AtmStrategyCreate()

I will get back to you tomorrow.

[NinjaTrader_Lance]

I have verified that the stop loss type used is tied to the ATM strategy template. When you save the ATM strategy template it will save the stop loss type (Stop limit or Stop) based on the order entry window it is saved in.