Is ATM Strategies can't handle tight stops?

[K. SATO]

Hello,

(1) Lately I tried my trading system using ATM Strategy with very tight stop and Rev at stop (Please refer to attachment -- 1 ). Very often I encountered the error message. (Please refer to attachment -- 2 )

(2) I just let the ATM run and never changed any price level during the test period.

(3) When the error message was shown , I realized that my position was naked and that would put me under a great risk.

(4) The case happens when market is volatile especially the lately crude oil market. Maybe you can reproduce this at your site to have a better understanding. Your advice is much appreciated.

[NinjaTrader_Kyle]

Hello K. SATO,

Thank you for your post.

When using ATM strategies, protective orders like stops and targets are not sent to market until the entry order has filled. In the case of fast moving markets and stops placed as close to the fill price as your own, you may run in to situations such as these where the order is no longer valid by the time it reaches your broker.

Two options are available as I see it:

1.) Widen the stop, at least initially. Once the order is in place, you could then try modifying to the desired price.

2.) Manually place an exit order in advance of entering your position.