A review splits into two columns with a hard line between them: what was published before the order, and what the tape printed after. A $47.00 sell stop on 100 shares bought at $50.00 that filled at $45.20 cost $482.00 instead of the $302.00 reference; the $180.00 difference was a published category before the order was placed, not a surprise afterwards. The published half is larger than it looks. FINRA's page on order types states before any trade is placed that a stop order converts to a market order once triggered, and that the main risk of a market order is not getting the price that was quoted — so a fill below a stop belongs to the left column as a known category, and the only finding available afterwards is whether the number was written down. What changes the review is the size of the gap, never the direction of the outcome.

What the order type said before the fill

Three behaviors are published, and all three are knowable at entry. A market order generally executes at or near the current bid or ask during regular hours of 9:30 a.m. to 4 p.m. Eastern, with no guarantee of the quoted price. A limit order executes only at its limit price or better, which means it can fail to execute at all when the market moves away. A stop order becomes a market order at the trigger and carries market-order uncertainty from that moment; a stop-limit triggers a limit order instead, trading the fill risk for non-execution risk. Those four sentences are on FINRA's order types page and belong in the pre-entry record verbatim, which is what separates them from the difference between a stop and a stop-limit discovered after a bad print.

The market's pause machinery is published too. The SEC's Investor Bulletin: New Measures to Address Market Volatility sets limit up-limit down bands at 5, 10 or 20 percent, or the lesser of $0.15 or 75 percent, depending on the price of the stock, and a price has to sit outside its band for 15 seconds before a five-minute pause starts. The same bulletin lists market-wide circuit breakers at 7, 13 and 20 percent of the S&P 500, thresholds effective 4 February 2013, with 15-minute halts at the first two levels before 3:25 p.m. and a close for the day at the third. Whether a session can gap at all, and how far, is a function of those numbers rather than of conviction.

Example: a $47.00 stop that filled at $45.20

An example with stated assumptions, and a mechanism rather than a strategy. One hundred shares are bought at $50.00, a $5,000 position, with a $47.00 sell stop and a $1.00 commission each way. Taxes are excluded.

The pre-entry record contains one arithmetic line: if the exit fills exactly at the stop, the result is ($50.00 - $47.00) x 100 = $300, plus $2.00 of commissions, for $302.00, or 6.04 percent of the position. That is a reference figure, not a maximum, and the order types page already said why.

At a later open the stock gapped to $45.50 and the stop converted to a market order. The fill came at $45.20. The result is ($50.00 - $45.20) x 100 = $480.00, plus $2.00, for $482.00, or 9.64 percent of the position. The fill sat $1.80 below the stop, 3.83 percent under it, and that $1.80 per share is the entire difference between the two figures: $180.00.

The gap itself measures 9.0 percent from the $50.00 entry to the $45.50 open. Against the SEC bulletin's bands, a move that size is outside a 5 percent band and inside a 20 percent one, so whether a pause was even possible depends on which band the stock carried. The hindsight review reads "the gap was obvious." The process review reads: the conversion to a market order was recorded, the $302.00 reference was recorded, and no line in the record priced a fill below the stop. One of those two reviews produces a change to the next pre-entry checklist.

Tag each finding knowable or not

Every row of the comparison gets one of three labels, and the label decides what happens next.

  • Process gap. Knowable before entry and absent from the record. The missing second arithmetic line — the result at a fill one, two or three points under the stop — is this kind. It is fixable with a sentence.
  • Execution variance. A known risk that materialized. The $1.80 shortfall is this kind: published behavior, unknowable magnitude. What a stop order cannot promise is the price, and no record fixes that.
  • Outcome information. It could not have appeared in the left column at any price. Overnight news is this kind, and it produces no finding at all.

The count that matters over a quarter is the first label, because it is the only one a writer controls. Execution variance is measured, not reduced, and outcome information is noise in a review even when it dominates the result. Locking the pre-entry column before the exit is what keeps the three labels honest, the same separation that makes a journal of facts and forecasts auditable weeks later.

Source references

Primary sources used for this guide. Follow the links for the original scope, definitions and conditions.