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I've noticed recently that with Mirus Futures and CL I'm getting some slippage on stop orders.
Example:
Am short @ 83.20
Stop loss limit order @ 83.30, placed many minutes ahead of when price trades near this level.
Market pops (just a regular "pop" on CL, no news or anything), my stop loss limit order gets filled at 83.35 instead of 83.30. That's some painful slippage, especially when my stop was a limit order.
I'm scratching my head on this, trying to figure out if this is the correct behavior or not. I've convinced myself both for and against, so am now asking for input from the smart guys here on futures.io (formerly BMT).
I know on ES that all orders are limit orders -- a 'market' order is actually converted to a limit order by your broker. I'm not sure if the same is true of CL, can anyone confirm?
Please share thoughts... I don't remember seeing this with Amp or IB.
hi Mike ...... to follow up my last comment on Mirus thread, I really got alarmed when I heard that Mirus has on-staff developer........to develop what?........I was hoping for some transparency in their services but now I am not sure about that .......
BTW, I understand the above in certain situations, like if a market is closed then re-opened (normal close/open, or halt, etc).
Like I said, I convinced myself "both ways". The argument with myself was something like this:
- I am a seller @ 83.30.
- I am on the bid @ 83.30.
- No one wants to buy @ 83.30.
- Instead, someone buys @ 83.35.
Why would someone buy @ 83.35 instead of @ 83.30? Why did the market not force the fill to the best bid, 83.30?
Well, Mike, if someone placed a sell @ 83.31 (above you), then they become the best bid and not you, and same for .32, .33, .34 etc. Each level maybe no LAST was conducted until .35, but each time the bid was raised.
Like I said, I am unclear on this so wanted discussion/advice I also don't recall this ever happening at Amp or IB, but Amp is basically a clone of Mirus you would think, but IB is naturally quite different.
Let me also throw one more thing out for discussion.
Who decided that 83.35 was the right thing to do? Was it NinjaTrader, was it Mirus, was it CME?
The orders tab of NinjaTrader simply says stop limit @ 83.30, avg fill @ 83.35. The end, nothing else. So it seems Ninja is not the one that decided to change the order, or at least if it did, it didn't bother telling me.
So did Mirus decide that it knew I was trying to get filled @ 83.30, but that 83.35 was the best it could do?