stoploss & slippages : a thread to understand how to avoid big slippage when you get stopped out #Qunat #AlgoTradeing #Nifty #stoploss (p.s. this is just an effort to educate & example is for illustration only.) hope this helps.
1. NSE maintains two orderbooks one which has all the bid & ask offers till its full depth 2. is stoploss orderbook which is not available for anyone to lookup unlike the 1st one.
you can place two type of stoploss orders one is SL-Market & SL-limit
These SL orders gets recored in SL-Orderbook in 1st come 1st basis for that mentioned trigger price
ex. 1) 9:20 -> SL order trigger at 100 qty 500
2) 9:45 -> SL order with trigger at 100 qty 500
3) 11:30 -> SL order with trigger at 100.5 qty 500
Now when price is dropping and as soon as it starts hitting the trigger prices mentioned in SL-Orderbook .. these orders get released in pubilc bid ask orderbook. in this case for our ex. trigger execution order will be 3,1,2
for this particular day market opened gap-up, for lot of traders this becomes bullish bias .. with this bias market was in very narrow trading zone giving everyone opportunity to enter .. majority of ppl will keep SL below nearest swing low.
