Where your stop order sits in the queue

Where your stop order sits in the queue depends on whether the stop has triggered. A queue is the line of resting limit orders at one price. In ES, the exchange fills that line in time order, so an order that arrived earlier fills first. A stop order waits outside every line until it triggers. This note follows one protective stop through a fast ES move in Liquivue and counts the contracts ahead of it at each step. The note on stop market versus stop limit orders compared the fill prices. This note counts the queue.

Why a waiting stop has no queue position

A stop order holds a trigger price. Until a trade prints at that price, the order does not rest in the book. The DOM shows no size for it, and nothing can fill it.

That has a benefit and a cost. Nobody can trade against your stop before it triggers. Your stop also earns no time priority while it waits. A limit order placed at 9:00 at 5,019.50 fills before every order that joins 5,019.50 later. A stop limit placed at 9:00 with a 5,019.50 limit joins that line only when it triggers.

What happens at the trigger

When a trade prints at the stop price, the stop becomes a live order.

• A stop market order becomes a market order. It takes resting bids or offers and never joins a queue.
• A stop limit order becomes a limit order. It fills against resting orders up to its limit price. The part left over rests at the limit price, at the back of that queue.

Stops from many traders can share one price, so one trade can trigger many stops at once. They all compete for the same resting bids. The exchange's rules and your platform's routing decide which triggered stop reaches the book first. Read both before you assume yours goes first.

The example

All numbers in this example are invented. ES moves in ticks of 0.25 points, and one tick is worth $12.50 per contract. You are long 2 contracts. Your protective sell stop limit has a stop of 5,020.00 and a limit of 5,019.50.

Other traders hold sell stops with the same 5,020.00 trigger. Their stops total 12 contracts of stop market orders and 6 contracts of stop limit orders, also limited at 5,019.50. For the example, assume all of their stops reach the book before yours.

At 10:42:07 a sell prints at 5,020.00 and triggers every stop. This is the bid side right after that print.

Step 1, the stop market orders fill

The 12 stop market contracts sell into the bids. They take 3 at 5,020.00, 6 at 5,019.75 and 3 at 5,019.50. One bid remains at 5,019.50.

Step 2, the earlier stop limits fill in part

The 6 earlier stop limit contracts sell 1 contract to the last bid at 5,019.50. Their limit blocks any sale at 5,019.25, so the other 5 contracts rest as offers at 5,019.50.

Step 3, your stop joins the line

Your stop limit arrives next. No bid remains at 5,019.50 or above, so neither contract fills. Both rest as offers at 5,019.50, behind the 5 contracts already there. You are contracts 6 and 7 in a line of 7.

Step 4, price moves away

Over the next 40 seconds, buyers take 4 contracts at 5,019.50. Then sell trades print down to 5,018.00. The 4 contracts that traded all came from the 5 ahead of you, so your 2 contracts never fill.

A stop market order in your place would have sold 2 contracts at 5,019.25, 3 ticks below the stop, for $75 of slippage across both. The stop limit left you long 2 contracts at 5,018.00. That is 6 ticks below your limit on each contract, an open loss of $150 beyond the limit price.

Counting the queue in Liquivue

Liquivue lists chart and DOM order entry with brackets, OCO and trailing stops, so you can attach this stop limit to the entry order. At 10:42:07 the Liquivue trade bubbles print at 5,020.00, 5,019.75 and 5,019.50 as the triggered stops sell. The heatmap band at 5,019.75 drops from 6 contracts to none.

After the move, the 5,019.50 row on the Liquivue DOM shows 7 contracts offered. That number counts every order at the price, and 2 of the 7 are yours. Count the trade bubbles at 5,019.50 from that moment. Your first contract can fill only after 5 contracts trade there.

Liquivue session risk controls cover the case where the stop does not fill. If the open loss takes the session past your max loss setting, Liquivue cancels working orders, closes positions and locks trading for the session.

Queue position on other platforms

MotiveWave lists an advanced DOM and documents an actual queue position display on live Rithmic connections only. Its Order Flow edition costs US$49 a month. The cost audit lists Liquivue at €20 a month, with market data extra on both.

A check you can run

Place a one-lot sell stop limit with its limit 2 ticks below the stop. Each time it triggers and rests, write down the size at your limit price when your order joined. Then count the contracts that trade at that price before price leaves it. After five triggers, compare the two numbers on each one.