Signals - when a stop order is filled outside of trade price
Posted: May 07 2013
Hello!
I use a strategy that predominantly uses stop orders, which it generates every new bar at the desired entry. I had the misfortune today of having my buy stop order filled on the bid price only for the trade price to then immediately reverse from that position without touching the fill price. In almost 1,000 trades this year, this has been the first time the strategy and the broker have become desynchronised in this manner. As far as the strat was concerned going by the trade price that it could 'see,' the order should never have been filled and it should still have been short, except of course it was long. It cost me a small fortune because a reversal signal was not generated until some time and many pips later, but of course this is my fault for not thinking ahead.
I have been looking into this, and I don't want to abandon stop orders (with which this is an inherent issue of course, because the trade price seen by the strat won't always be the price on offer), but I note that recalculate on broker events is enabled by default for signals. If I were to enable IOG on a one order per bar basis would this have been able to correct itself after the initial 'false' fill?
Thank you very much for your time.
I use a strategy that predominantly uses stop orders, which it generates every new bar at the desired entry. I had the misfortune today of having my buy stop order filled on the bid price only for the trade price to then immediately reverse from that position without touching the fill price. In almost 1,000 trades this year, this has been the first time the strategy and the broker have become desynchronised in this manner. As far as the strat was concerned going by the trade price that it could 'see,' the order should never have been filled and it should still have been short, except of course it was long. It cost me a small fortune because a reversal signal was not generated until some time and many pips later, but of course this is my fault for not thinking ahead.
I have been looking into this, and I don't want to abandon stop orders (with which this is an inherent issue of course, because the trade price seen by the strat won't always be the price on offer), but I note that recalculate on broker events is enabled by default for signals. If I were to enable IOG on a one order per bar basis would this have been able to correct itself after the initial 'false' fill?
Thank you very much for your time.