London UK
Experience: Beginner
Platform: CQG
Broker: S5
Trading: Futures
Posts: 5,991 since Sep 2015
Thanks Given: 15,527
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As a follow-up to this thread, yesterday I had another event such as the one in the OP. This time it was a live trade.
By analyzing the ms timestamps (thanks @sam028) I could see the following
(this is UK time)
Bracket limit order filled at 14:49:39.820
Stop trigger was attempted at 14:49:40.008
So, this time, the trigger took place within 188 ms, a timing in line with what would happen during quiet hours. Still, the market spike was too fast for the bracket order.
Since I had experienced this before, I wasn't as bamboozled and I closed manually for a contained loss of 9 ticks.
One of the original questions I had was, isn't it better to just place a manual limit and stop order?
In this specific case, I think it's likely that the slippage I would have experienced by the spike hitting a manual stop would have been worse, although the market went only 3 ticks further.
It sounds like there is no straight answer, and it's probably a matter of trial and error.
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