This seems like an important distinction. If the bid price suddenly dips below my stop loss, but nobody sells to that bidder, does the stop loss get triggered?
Stop orders are triggered by the last ‘valid’ trade price. What is a ‘valid’ trade? Here is the list of conditions which exclude a trade from being valid.
|CTS||AB||B||Average Price Trade|
|UTDF||C||W||Average Price Trade|
|CTS/UTDF||ABC||7||Qualified Contingent Trade (“QCT”)|
|CTS/UTDF||ABC||9||Corrected Consolidated Close (per listing market)|
|CTS/UTDF||ABC||G||Bunched Sold Trade|
|CTS/UTDF||ABC||H||Price Variation Trade|
|CTS/UTDF||ABC||I||Odd Lot Trade|
|CTS/UTDF||ABC||P||Prior Reference Price|
|CTS/UTDF||ABC||Q||Market Center Official Open|
|CTS/UTDF||ABC||U||Extended Trading Hours (Sold Out of Sequence)|
|CTS/UTDF||ABC||Z||Sold (out of Sequence)|
Those are ‘condition’ parameters set for each trade which appears on the SIP data feeds. If a trade has one of those conditions it doesn’t trigger a stop. Additionally, the ‘market’ price that is typically displayed is also not updated.
Thank you for this explanation