Recently started trading Micro futures: MES (since July).

Had many years experience swing/position trading stock options, but quit back in 2010.

I experienced my first 'anomaly' today, day-trading.

Was trading right around the time the FOMC report was released.

Had entered a long position with ATM in Ninjatrader 8 that auto-entered a trailing stop-market order.

I wanted to replace the stop with a stop-limit order tied to an indicator. Normally, I'll enable OCO, add the second stop, then delete the initial stop.

Just as I was tying the 2nd stop to an indicator, the market dropped from 3400 to 3383, took out my stop-market order AND hit my OCO stop-limit, creating a net-short position

Didn't lose too much, but I'm used to losing due to my own mistakes, rather than bizarre glitches.

So...now I know that OCO cancellations are NOT guaranteed, and I won't chance changing stops like this again.

OCO brackets (with target & stop) I guess are ok as you don't have two orders in the same direction.

Anyone else been bit by this?

Yeah, I saw that very long tail print on MES today. I got burned like that once, only with a long wick. Irritating when it happens, but it goes with the territory.

Keep in mind, the CME *automatically* places a stop-limit three points out from your regular stop to protect traders from extreme losses in this type of scenario.

Hi Ondafringe. Can you elaborate more on the CME automatic stop? First time I hear that and really want to know more about this.
Thanks in advance.

ondafringe 

Yeah, I saw that very long tail print on MES today. I got burned like that once, only with a long wick. Irritating when it happens, but it goes with the territory. Keep in mind, the CME *automatically* places a stop-limit three points out from your regular stop just to protect traders from this type of scenario.

Sent using the NexusFi mobile app

This video explains it best:

https://www.cmegroup.com/education/protection-functionality-for-market-and-stop-orders.html

And here is another explanation:
https://www.danielstrading.com/2013/11/25/why-stops-become-limit-orders-on-cme-globex-ice

Thank you. Very good video indeed.

ondafringe 

This video explains it best: https://www.cmegroup.com/education/protection-functionality-for-market-and-stop-orders.html And here is another explanation: https://www.danielstrading.com/2013/11/25/why-stops-become-limit-orders-on-cme-globex-ice

Sent using the NexusFi mobile app

ondafringe 

This video explains it best: https://www.cmegroup.com/education/protection-functionality-for-market-and-stop-orders.html And here is another explanation: https://www.danielstrading.com/2013/11/25/why-stops-become-limit-orders-on-cme-globex-ice

Thanks for the links.

On thread opening post though, it is indeed something that most of us have been bitten by past.

ondafringe 

Keep in mind, the CME *automatically* places a stop-limit three points out from your regular stop just to protect traders from this type of scenario.

Thanks, did not know that.