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OK, we have a better idea of what's going on. We will do some testing on Monday and if the order type is changed to a Stop-Limit from a Stop, then we will update the order type to indicate that it is actually a stop-Limit, in which case when you do modify that order, we will also adjust the limit price to maintain the identical difference it had to the original Stop price. We currently do not do this just for a Stop order because the order is believed to be just a stop.
We have already added support for this and this will be out on Monday. When it comes to issues like this, we do not wait until a "next major release". These kinds of things are promptly taken care of in a matter of hours or days. We also don't have major releases. We gradually do development and have a new release ready every few days.
Thanks for looking at this; it may not be a problem yet, but it's at least worth looking into. I admire your quick turnaround and the general correctness of the quickly changed/written code, and I know a lot of others do too.
Just for reference, here is the official CME notification of the banding changes that took place 9/16:
@josh, thank you for posting this, guess it's a good idea to start reading those CME Globex notices . I was unaware of this, thinking the stop market orders in most trading platforms were actually stop market orders. This should be much more clearly documented in trading platform support and from brokers, that the CME does not support stop market orders and they will be converted to stop limit orders.
In a catastrophic situation, this means that if the market is not able to fill you within the stop limit protected range, it will move away without you, with your order remaining on the book as a limit order, leaving you holding the losing position.
The Non Reviewable Range is 100 ticks on CL, the protection point is 50 ticks, and banding is 75 ticks. No trade will be reviewed unless outside of the NRR, and for a trade review, you need to call the GCC (CME Global Command Center) within 8 minutes of a problem, otherwise the trade will not be reviewed. You also need to be a registered contact in order to be able to call the GCC, and authorized by your FCM to do so.
While changing this, please consider making the order information lines/text display/color background have transparency, so they do not completely cover up price candles on the chart they overlap with.
In the case of when using TT, if a Stop order is converted to a Stop-Limit, the order type will change in the Trade Orders List and on the chart. Here is an example of a stop order we submitted that got converted to a Stop-Limit on the TT development environment:
The vertical line that you see indicates where the limit price is. So automatically there was a 3 point Limit added. So hopefully this is not going to confuse people going forward but actually there is a Stop-Limit order working instead of a pure Stop order.
@josh, can you elaborate on what exactly lagged slightly in SC at the close, ie DOM/charts/interface etc, how you determined it to be lagging/what you compared it to?
I mean, can the stop limit offset in SC be greater than what the CME specifies as the maximum stop limit offset/protection point? ie CME site says for a Stop with Protection, the protection range is 12 ticks on ES, outside of this the Stop Limit will remain on the book as unfilled. What happens if SC is set to use Stop Limit Offset of 20 ticks, is the order accepted, or modified, or rejected?
Compared to your TT example, what happens on Rithmic to orders submitted as type Stop: Stop, are they converted to Stop Limits automatically as well? In this case, is the Stop Limit offset specified in Sierra used, or is the CME protection range used for the limit offset? Would you only want to set the Stop Limit Offset if you want it set smaller than the CME Offset?
This area seems critical for risk management, and it would be helpful for traders if you could try to make all this more clear in the documentation/platform, and also if the order type listed as Stop: Stop was disabled on markets where it is not supported, ie CME. In these instances, I think it would make sense if Stop Limit was used from the beginning to avoid unnecessary conversions, and the user should be aware if they need to configure the Stop Limit Offset setting or not also.