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Date/Time: Mon, 20 May 2024 21:28:09 +0000

Post From: Detecting Slippage via ACSIL while using Teton Order Routing

[2024-04-12 20:16:16] Link To Thread - Link To Post [Go To First Post]
ondafringe - Posts: 248
I don't think you are stating things quite right. My understanding is: When you place a Stop, the exchange does not automatically convert that to a Stop-Limit. It remains on the book as a Stop, but is considered a Stop-with-Protection. Once that Stop is triggered, Protection points are applied, and the Protection point price becomes the Limit price. So the effect is the same as a Stop-Limit, but there's a subtle difference worth noting: With a Stop-Limit, you set the Stop price and the Limit price. With a Stop-with-Protection, you set the Stop price and the exchange sets the Limit price. And when the Stop order is still Open, TradeOrderData.Price1 should show the price where the Stop order is resting, not the Limit price because there is no Limit price on a typical Stop (see above). And when the Stop order is triggered and filled, TradeOrderData.Price1 should now show the Fill price. One way to determine slippage is to just retain the price where you placed the Stop, and then, after the order fills, find the difference between that price and TradeOrderData.LastFillPrice.