Statistiche › Intraday e microstruttura del mercato › Stop orders
Almost every executed stop order in the E-mini is a stop limit, and the exchange caps the rest
| E-mini S&P 500 | 10 year note | WTI crude | |
|---|---|---|---|
| Exchange protection point | 3 index points | 0.25 points | $0.50 |
| In ticks | 12 | About 16 | 50 |
| Stop limit share of executed stops | 98% | 95% | 99% |
| Stops as a share of total volume | 0.9% | 0.3% | 2% |
| Average resting time | 20 minutes | 42 minutes | 15 minutes |
| Share resting under one minute | 11.3% | 4.2% | 13.6% |
Stop order characteristics from exchange audit trail data, beginning of 2014 to end of 2016. The protection point is the maximum distance from the trigger at which a stop market order will fill; beyond it the remainder is cancelled or rested. These parameters should be re-verified against current exchange settings before use.
Ninety eight percent of executed stop orders in the E-mini are stop limit rather than stop market. The exchange caps slippage on a triggered stop market order at three index points, twelve ticks, and one regulator study reports that cap being hit on many occasions.
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