Protective limit on stop loss ATM order

[evlap]

Hello,

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

[NinjaTrader_RyanM1]

Hi Eugene,

Yes, this is expected to happen. ATM based stop losses are designed to fill, so they will always have a hard coded limit price at 20 ticks worse than the stop price. This currently cannot be configured, but you can always manually submit your own stop limit order if you prefer.

[evlap]

Thanks Ryan. So how can I create an ATM strategy that will fill my stop no matter what? The fact that the market can run 20 ticks thru my stop and leave me unfilled doesn't give me warm and fuzzy feeling. Can you recommend anything?

[NinjaTrader_RyanM1]

You can use stop market orders for these instead.
Right Click in the order entry window (superdom, chart trader, etc) > Properties
Set Use Stop Market for Stop Loss orders = true.

[evlap]

Thanks again Ryan. I assume this will affect only the stop loss order, correct? If I enter on a stop order it's a good idea to have the default behavior in place. Please confirm.

[NinjaTrader_Kyle]

Hi evlap,

The property would effect only Stop Loss orders - stop limit/market orders which are manually placed would continue to operate as they do now.