Disliked{quote} Price execution still occurs at these different levels because of setup orders cascading. First come first serve. There is no black hole here.Ignored
hmm...Your thread got some quite hard personal debate...
What I meant was that when price spikes, there will be of course pending orders that are getting filled. They are mostly limit orders, which are for sure filled. However, limit orders have to be on "wrong" side of spike (buy when spike is down).
Stop orders (like stop loss) are for right direction, but they are not there waiting for to get filled. Broker executes them when price hits certain level. It may take some milliseconds, but at spikes those milliseconds matter a lot.
Attached a picture from dukascopy tick chart at usd/cad selling spike last week. As you see, first tick was about 80 pips below original price, and it is highly potential, that even on that price any bigger order wouldnīt get filled.
I am not saying, that your system couldnīt work, but slippage is a major thing and will occur on spikes because of the market structure.
Earlier (like 10 years ago) some brokers were promising "no slippage", and news straddling must have caused them huge losses.