In case anybody is still following this thread, you might be interested to see the emailed response I got on my inquiry to NinjaTrader: it appears the orders were rejected by the exchange because trading had been halted due to the 'Velocity Logic' event. The term "Velocity Logic" refers to a feature implemented by some exchanges (such as the CME Group) to prevent excessive market volatility. Velocity Logic is a market volatility protection mechanism used by exchanges like CME. It temporarily halts trading if the market experiences extreme price movement within a short time. During a Velocity Logic pause, certain order types—especially market orders—may be restricted or rejected which is the issue you ran into with your market orders. From what I see from web search results, the halt in trading do to 'Velocity Logic' typically lasts between 5 and 15 minutes. What I observed though, aside from a couple of error messages, was that my charts froze for just a few seconds. When it resumed the candle had already dropped ~100 points and my stoploss was executed at the bottom. I'm still trying to wrap my head around it. This was only my second week trading so I lack perspective. Still trying to figure out how/whether to adjust my strategy...
You typed that you are new to trading. It is unfortunate you picked the NQ to start your dabbling. If you want to get your feet wet, work on the micro ES. ONE MICRO-CONTRACT AT A TIME! I made a similar mistake back in 2015 with the TF-mini (Russel small cap at the time, micro contracts did not exist back then), and got bit, big time. Shake off the blood and dirt, and focus on shit you CAN afford big swings on. The MYM comes to mind. The MES is fairy smooth as well. But ONE MICRO-CONTRACT AT A TIME! Stay away from the minis until you have 6 figures in your account! Heed this warning, you live longer! (Oh, and forget trying to finagle the daily loss limits on Ninja. It doesn't work. You need to do it manually, mentally. Just use your stop entries.) ONE MICRO-CONTRACT AT A TIME!
To reiterate my initial post, the drop on Friday at 10:00 blew through BOTH safeties, the daily loss limit AND my stop that I had on that trade. Both were ignored and my positions were closed out almost 100 points below. As a newbie the questions I had for more experienced traders were: 1. How likely is it that this was a glitch with NT or CME? 2. If not one of the above, how often might a trader expect for huge slippage like this to occur? A couple of commenters have given their perspective on these questions and I appreciate it. Thank you. I truly have no perspective of my own on these questions since I'm just starting with real money. I did not experience this problem at all during 8 months of practicing on a simulated account. Others have focused on the fact that I'm a newbie. OK. I really welcome any sincere advice. Thank you. But in order to keep the advice on point please know that last week, the week that I lost $9,792.24 on Friday, I actually only lost $1,040.28 for the week. I made $8751.96 during the previous 4 days and I am trading conservatively compared to how I was trading on my simulated account. The loss on Friday is a huge problem if it's a daily or weekly occurrence for the NQ market to blow 100 points past a trader's stops, and in this case, I'll certainly have to make some kind of immediate change. If it's rare (or if it's a glitch), it's not a show stopper and I suppose I'll be able to get better at avoiding it. Not sure why someone should spend a lot of time trading the micros, especially if they don't behave with the exact same characteristics of the mini that you really intend to trade. Otherwise, don't you just need to relearn with the mini when you switch to it? Is this not true? Thanks, JY
The way you phrase this is just wrong. They weren't ignored at all. If you understand that a stop is simply an order that will be executed at the market price when price trades down to this level, then you will realize that you will need someone to trade with. If a piece of news comes out that instantly makes everyone not want to buy, how can you expect to sell? Its going to be a long way down until there are some people willing to put bids into the market who are willing to buy and catch a falling knife. Imagine trying to sell a house in LA while you see on the news that the entire hillside is on fire. Your RE agent might tell you the house down the street sold for $10M last month, but good luck finding someone to put an offer in when they see the flames. You might put your stop at $9M for the house, telling your RE agent that you are willing to let it go for this, but at a time like this, the only person willing to buy it is probably at $2-3M, simply for the land value, assuming that it will burn to the ground and need to be rebuilt. If you are desperate to sell, that would be the market price at this point in time. Now with regards to the daily loss limit, well, that is simply a running total of when the platform would stop you from trading. Maybe you lost $200 4 times in a row, and on the 5th trade, if you lost another $200, your $1000 daily loss limit would hit and you would be prevented from trading for the day. But in your case, this trade cased a loss of many thousands because there was no way to get out at anywhere close to where your stop was. Imagine being long over a weekend and someone drops an atomic bomb on Saturday night. Where do you think the markets will open on Sunday afternoon? Who cares if you had a stop 10 points below the closing price on Friday. The markets would open thousands of points lower and your stop wouldn't help at all. So the daily loss limit is just a platform thing, and not even anything to do with the exchange.
Keep an eye on an economic calendar like financialjuice and make sure you are flat for important news such as CPI in just over 6 hours. Like others have said, a having a stop doesn't guarantee a good fill.
Welcome to the real world of trading. I have experienced trading platform that froze for a minute, and charting software that froze for half an hour.
You might want to make sure your OCO are held sever-side and not locally. I have never used NT so I am not familiar with that platform or your broker. I use Sierra chart, Denali data feed, and Teton routing. AMP has been one of my brokers and Sierra, Denali, and Teton can all be used seamlessly with AMP. Here is a little info link on Sierra chart using Denali data feed and Teton for routing. Yes, there is a monthly fee but if you pay 3 months at a time you get a discount and even more if you pay by the year. Is it worth it? Well to me it is. I want my orders routed quickly to the exchange and held there even if my internet goes down. I have package 12 with Sierra and would suggest using that IMHO and not the cheaper packages if you really want OCO orders managed correctly. And I suggest using Denali Data Feed and Teton routing. I wouldn't skimp. Sierra chart is a powerful and very professional trading platform. It can be a little daunting to learn the Sierra Chart platform, but they have videos and there are plenty of YouTube videos showing the features to help get a trader up and running. I by no means use all the features nor have even learned how to use all of them. I keep it pretty simple and just use the platform to do what I need it to do. I would strongly suggest you read the below excerpts and link about Sierra Chart, Denali Data Feed, and Teton Routing: "Server managed bracket orders, also mean that when the market is moving fast, there is a greatly reduced possibility that the stop order will be rejected. If the Stop order were rejected, it would leave the position unprotected." "Properly managed server-side bracket orders are so important since it makes the order handling very safe and low latency. With some of the other supported Trading services, the bracket order management is on the client side with a much higher delay from when the parent order fills, to when the Target and Stop orders are transmitted." "Sierra Chart servers are located in Aurora Illinois colocated with the CME order matching computers." "Another advantage of server-side managed OCO and Bracket orders is that if your installation of Sierra Chart loses Internet connectivity or is closed, these orders continue to be managed on the server regardless of this and will protect the Position that they are intended for." You can read more at this link and also about CQG, bracket orders ...etc Sierra Chart Teton Futures Order Routing - Sierra Chart I am a scalper and I don't want to screw around with OCO orders held locally. I want them going directly to the exchanges and held there regardless of what happens to my internet connection. Besides I am sometimes racing down the interstate (my wife driving of course) and me trading using a hot spot. If I lose cell phone connection I want to know my orders are being properly managed. You might want to read up a little on "the order queue" also Queue [Order Queue] – AMS Trading Group Good luck!
I would suggest paying attention to what Mark says in post #2 especially the part about platform problems. Your situation may have been influenced because of more than one thing. Platform problems freezing etc...order routing..AND velocity logic which is a sort of dynamic circuit breaker. Notice this sentence you post of their response: "it appears the orders were rejected by the exchange because trading had been halted due to the 'Velocity Logic' event." So why were they rejected? Because they apparently HAD not been placed BEFORE the Velocity Logic event happened. IMO That seems to imply that either you placed the order or tried to modify the order after the event was ongoing or your broker tried to place it after the event was ongoing. In other words, maybe it was not already on the exchange as a resting order before the velocity event happened OR an attempt was made to change it quickly? If the former is so, it appears that would have to do with the routing of the order. If the latter, then a modification was tried after the event was ongoing, by someone. However, you said you had the order set already so it could have just been slippage. Using an OCO buy limit and stop limit might have mitigated that some but I am not sure how the exchange would handle that? I would ask my broker if doing such an order vs a straight OCO (i.e. buy/sell SL & PT) if it would have made any difference in the execution. And I would ask him IF my order was already on the exchange before the event velocity event happened. Contributing these velocity logic events problems in my opinion is the durn algo's jacking price down or up very fast. Also, here is a little info on Ultimate Guide to Velocity Logic: Understanding its Role in Trading Velocity Logic - CME Group Client Systems Wiki - Confluence And likely best not to be trading on major market report. Things can be bullish or bearish when a report flies out because there are both bullish and bearish institutions. It can race up and race down very fast or back and forth very fast.