The following discussion details (such as times) may vary from broker to broker and between the various exchanges. Check with your broker before depending on this information.
Bill S. asked if I knew that stop loss orders were triggered on the bid price and not the last sale. Yes, that's the way they work, much to the dismay of traders.
Let's talk about order types. A market order is an order to buy or sell securities at the best price available. Buy orders are filled at the asking price. Sell orders fill at the bid price.
Limit orders specify that you will buy for no more or sell for no less than a chosen price.
Stop orders are instructions to buy above or sell below the current market price. A stop order, when triggered, changes into a market order for execution.
A stop loss order is triggered on the bid price. A buy stop is triggered when the asking price rises to or above the activation price. In both types of stops, the stock does not need to actually trade at your price to trigger your order.
If price gaps around your stop, it could fill well beyond the activation price. This happens from time to time. I remember having a limit order to buy a stock at 20 and the stock gapped open at 18. My order filled at 18, and then dropped from there. Of course, that's better than seeing the order fill at 20 and drop to the same price. .
When the Nasdaq prepares to open trading, they use what's called the opening cross to set a stock's opening price. Orders placed within two minutes of the open cannot be canceled. I discovered this the hard way.
Market on close (MOC) orders are used when you want to buy a stock as close to the final close as you can get. Some brokers offer MOC orders. What's the problem with them? They can be rejected if placed after 3:01 (59 minutes before the close). I've not had that problem, but you must place your order at least 20 minutes before the close. Once you place your MOC order, you may not be able to cancel it after 3:40 (20 minutes before the close). If you would like to cancel the order, your broker will make a best effort to do so.
The price at which MOC order fills on Nasdaq may not be at the best bid or ask price due to the Closing Cross -- the way the exchange prices securities at the close.
Again, check with your broker to determine how they (mis)handle your orders.
-- Thomas Bulkowski