[kongming208]

Anyone out there have any stop loss orders get triggered on May 6, 2010? I've often
heard the theory that stop loss orders might get filled at an unexpectedly low price
if the market suddenly becomes illiquid, but I was wondering how well this theory
holds up in practice.

[joseph000]

As for May 6th, I was fortunate to already have been short. Although my algo advised me to scale out a good portion of my contracts due to the over-sold condition.

I have had some 'slippage' with stop loss orders usually with stocks and lightly-traded futures. At the most with ES, I have experienced about .25 point max.

There are ways to protect your stop-loss orders from erratic market conditions. Check with your broker. I won't mention my broker so this reply won't be viewed as a sales-pitch, but most legit brokers have options easily enabled to ensure that your stop-loss isn't the first to get filled at an extreme level and etc. You can leave these options always enabled or you could monitor the VIX and when the level exceeds 29.9 you could enable.

I hope this helps.

[Logic]

My opinion of May 6th was, if a trader could read an intraday chart there was absolutely no reason, trading the indices, that particular trader would have been long. If they weren't long, they can not read a chart.

Regarding swing trading, my charts triggered exits on May 4th.