I have a question about implementation of stop loss orders in an ATM strategy. Based on my understanding, NT uses stop limit order to implement it with a limit price some distance away from the actual stop value. See below for the example:
3/23/2012 5:07:43 AM|1|32|Order='xxx' Name='External' New state=Filled Instrument='DX 06-12' Action=SellLimit price=79.3 Stop price=79.4 Quantity=1 Type=StopLimit Filled=1 Fill price=79.325 Error=NoError Native error=''
In this example my actual stop was intended to take me out of my long position and was set to 79.4. NT added "limit price" 79.3 - 20 ticks away from my stop price. Is there a way to control this behavior? As you can see I've got quite a lot of slippage on the fill (violent move overnight). What if my would-be-fill was below 79.3? It looks like I'd still have my unfilled stop order open.
Can someone from Ninja confirm please?
Thanks,
Eugene
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