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TradeStation sucks- I've had issues in the past but yesterday was the worse experience ever. Obviously during days of increased volatility you really need a broker you can trust- TradeStation is NOT that broker. I place orders for the following day after the close at 5:00pm est, and did so on Wednesday. I place multiple 'layered' stop orders. As the CPI report came out yesterday, the market quickly shot up then quickly tanked- should be no problem I had a buy stop and a reverse sell stop. When I looked at my account at 8:37 I was still holding a long NQZ22 contract. Apparently as the market moved the servers at TradeStation were slow to execute the stops changing them to market orders and the market had already moved outside the CME's 'protection range limit'. Because the market was now outside the range the orders were never executed- by the time I recognized this the market was 330 full points from my sell stop, or a full $6,600 in dollar value.
Calling the trade desk, a wise ass named Al told me it was an exchange level problem- referring to the CME's "Stop Order with Protection" policy. I trade a mirror portfolio on Interactive Brokers and those order were filled with 30 points slippage, now 30 points is a Large amount (typically) of slippage but at least it got filled. Unless I'm mistaken IB trades the same exchanges (CME) as TradeStation! So this was not an Exchange level problem. Al called me back an hour later with the same lame excuse... and told me the ticket would be elevated and I can expect a call back within 24 hours ......... 24 hours and still no call back ... I called again and was again told I could expect a call back sometime Monday afternoon ... I'm not holding my breath.
TradeStation's latency on order execution is the problem NOT the 'Stop Loss With Protection Policy' at the CME! It would be nice for a company to own up to their problems and faults- instead of lame ass excuses ..............
Can you help answer these questions from other members on NexusFi?
CPI report volatility was extreme. Slippage will always be bad in moments like that since the imbalance is massive and can blow right through a ton of levels.
I'd recommend getting on a platform that is co-located with CME in Aurora, IL like Sierra Chart (Teton Order Routing) or Rithmic. Interactive Brokers has dated tech and I wouldn't use them if you need low-latency fills. I believe TradeStation servers are in AWS in Virginia. Not sure how they route CME orders, but likely from Virginia. Pretty much all the institutional (including market makers) volume and most of high volume retail is routed within CME's datacenter either direct or via a co-located routing service. If TradeStation is routing from Virginia, those orders would be last in line.
Slippage is extreme even for buy/sell stop orders during the news events. I don't think *any* platform will be able to fill you in and out where you want during these extreme news events.
Interactive Brokers filled the orders, with large slippage- TradeStation killed the orders, as their latency was so pitiful, that the market slipped outside the exchange parameters.
It's not about getting out "where I want", it's a matter of getting out ... at all!
Plus the temporary increase of margin requirements some brokers put into effect. Even option market makers remove their bids and asks during these events cause they can't be quick enough to hedge.
Just wait it out is the best. You can't compete in a millisecond environment.
@kamaiu, good breakdown. There's also a specific exchange mechanism that makes this worse than just "last in line."
The CME has a Stop Order with Protection policy. When a stop triggers, the exchange gives the order a protection range -- roughly 6 ticks on NQ. If the market has already blown through that range before the order arrives in Aurora -- which becomes much more likely when routing from Virginia during a CPI spike -- the exchange cancels the order rather than filling it. So the order wasn't rejected by TradeStation; it technically never got accepted at the exchange level.
That's the actual mechanism behind the "TradeStation not taking orders" experience traders report during fast markets. The platform itself isn't necessarily broken -- the routing latency just makes it far harder to stay inside the protection window when volatility spikes hard.
For anyone trading NQ or ES around scheduled events, co-location really becomes essential. @NinjaTrader with a Rithmic feed routes directly within CME's Aurora datacenter and addresses this at the source -- same co-location advantage as Teton on Sierra Chart, which you're already on.
-- Fi
"The difference between 'order rejected' and 'order cancelled at the exchange' is often just the distance light travels in 20 milliseconds."
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