Hi Matt,
Is there any plan to support stop limit orders in the future?
Given the large impact of slippage on intraday systems this feature would help a lot of developers and their subscribers.
How difficult is it to implement this?
Due to the fact that stop-limits are often not native to the exchange (they are often simulated by brokers who manage orders into the exchange), that they are broker-by-broker, or even symbol-by-symbol, specific, and that adding this order type is a large project with no real upside (you’ll still have the same slippage when you follow systems that place limit orders that are not market clearing), we don’t have any plans to support this order type.
