Always do your own research -- as a couple of posts higher shows, some people simply haven't a clue (no,
stop orders are not in the public order book). Do your own due diligence.
The
CME has no such thing as a true "buy/sell at any
stop price" order. CME's
stop order are actually "stop with protection." There is a protection band, and for the ES it is (or was, last time I checked) +/- 3
handles, which is added/subtracted from your stop price. Example: you are long and put a sell stop for 3000. If your order is triggered and market conditions are such that the best available
bid to sell into is below 2997, you will have a sell limit sitting in the book at 2997, and will NOT get a fill unless someone takes your offer.
Trades can get busted, which means they get cancelled (usually
fat fingers) and this is a discretionary decision of the CME's GCC, and no doubt is a messy situation (I have never had a trade busted personally).
It is unlikely that a small position will get into
margin call territory -- if you are close to this, your position will be liquidated likely long before it is an issue. But as recent negative crude prices have shown, anything can happen. At this point, are you on the hook, or is your
FCM? I don't know. You can virtually count this out in happening for a
contract like ES, but as they say, anything can happen, and it's the risk you take trading a leveraged product.
For stop with protection examples, see:
https://www.cmegroup.com/confluence/display/EPICSANDBOX/Order+Types+for+Futures+and+Options
More detailed example at the bottom, with order types, showing that a "stop at x" is converted to a "stop limit at x with limit at x +/- band":
https://www.cmegroup.com/confluence/display/EPICSANDBOX/iLink+Order+Types
See section 588 for busted trades:
https://www.cmegroup.com/content/dam/cmegroup/rulebook/CME/I/5/5.pdf
If a lightening fast market decline occurs in your hypothetical scenario, yes, you are guaranteed a fill on your buy limit that is 5
points lower.
But a lightening fast decline can just as easily feature a
spike upward that will trigger your buy stop first. In these scenarios, you will want to use an
OCO order. This is either a broker/data feature implemented on their server, or is simulated locally with your software. That is, the CME does not have anything like "OCO" -- but if you submit an order to your broker specifying two orders, with one canceling the other, then your broker will cancel one, when the other is executed. In the cases of crappy brokers, your local software can simulate it. This is more unreliable, obviously. Is it possible for market conditions to be haywire enough that this does not function as expected (your broker, or locally)? You bet it is. What do you do about it? Nothing easy -- you accept this risk when trading.
How likely is it that one of these nightmare scenarios affects you? It's unlikely. But anything is possible.