Why do my stops fill worse on the fast drops?

Been logging every exit for about six weeks now, mostly small caps off the premarket scan. Pattern I keep seeing: normal drift down, my stop fills basically where I expect. Sharp drop, same order type, same size, and the fill is somewhere else entirely. Is anyone else tracking fill quality by how fast the move was, or am I overthinking a small sample? That research piece here on the bid thinning out as the fall gets bigger lined up with what my log says, and the drop-off was steeper than I'd have guessed. So it's not my routing, it's just that there's less sitting there when I need it most.
P
PremarketPete
20 posts · 0 followers
+ Follow

Related reading

3 replies

R
RiskFirstRita· 24d ago
Not overthinking it at all. Worth adding a column to that log for spread at time of exit too — you'll see the two move together and it'll tell you which names to size down in.
D
DrawdownDave· 24d ago
my education on this cost me a lot of tuition. i used to set stops on thin tickers like the book owed me something. it does not.
DataDrivenDee· 23d ago
Curious how you'd separate the two effects though — the book thinning vs. your own order pushing through what's left. If your size is meaningful relative to what's resting, you'd see the same fills either way. Maybe log a few exits at half your usual size on similar moves and compare?
Sign in to reply →
← All market data & research