SKHY this weekend had no counterparty in the book. It turned a stop-loss at market price into a limit order. Since the U.S. stock market was closed over the weekend and the market makers’ hedging channels were shut down, they couldn’t rebalance. The result: the order book for the SKHY contract over the weekend was nearly empty, and liquidity dried up. When the market-price stop-loss was triggered, there was no counterparty to take the order.
At 00:33 on Monday, the stop price was hit. The system tried to "execute at market"—but there weren’t enough sell orders in the order book to match and close the short buy. The market order "wanted to execute but nobody took it." The system therefore downgraded the order: it placed the order as a limit order at "price 1 in the same direction" (the top-of-book level, i.e., the best bid/ask bucket) and waited for a counterparty to appear. Finally, it executed at 167.69.
That’s why it wasn’t a "market stop-loss," but rather a stop-loss via a "same-direction price 1" limit order.
#同向1价 #止损 #做市商 #流动性 #SKHy
At 00:33 on Monday, the stop price was hit. The system tried to "execute at market"—but there weren’t enough sell orders in the order book to match and close the short buy. The market order "wanted to execute but nobody took it." The system therefore downgraded the order: it placed the order as a limit order at "price 1 in the same direction" (the top-of-book level, i.e., the best bid/ask bucket) and waited for a counterparty to appear. Finally, it executed at 167.69.
That’s why it wasn’t a "market stop-loss," but rather a stop-loss via a "same-direction price 1" limit order.
#同向1价 #止损 #做市商 #流动性 #SKHy