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A stop order becomes a market order when triggered and fills at the next available price, which can be far away in a fast market. A stop-limit order becomes a limit order instead, and it only fills at the limit price or better.

How it works:

• Stop price: the trigger.
• Limit price: the worst acceptable fill, e.g. 1 pip beyond the trigger.

When it helps:

• Breakout entries where a bad fill would destroy the trade's R:R.
• Avoiding entries during sudden spikes.

When it is dangerous:

• As a stop loss: if price gaps through the limit, the position is not closed at all.
• On news, where fills are most likely to be skipped.

MT5 supports buy stop limit and sell stop limit orders; MT4 does not natively.

Do you use stop-limit orders for entries, and have they ever left you without a fill on a good move?

FXS Prop Desk wrote: As a stop loss: if price gaps through the limit, the position is not closed at all.

That one deserves more emphasis than it usually gets. With a normal stop the worst case is a bad fill, with a stop-limit used as protection the worst case is still being in the trade with no stop at all while price keeps going. For entries the trade-off is reasonable though. Say you have a buy stop limit on EURUSD with the trigger at 1.0850 and the limit at 1.0851. If a spike jumps straight to 1.0855, you simply don't get in, which is usually better than paying 5 pips over plan. Worth testing on demo how the broker treats a trigger hit by a brief ask spike rather than a real move, since that can leave a resting limit order where you didn't expect one.

One thing to check before relying on a limit beyond the trigger in MT5: most retail accounts will not accept it. A buy stop limit there needs the limit at or below the trigger, so the order is really a breakout trigger followed by a pullback entry.

With the numbers in the reply above, a trigger at 1.0850 can only place a buy limit at 1.0850 or lower, never 1.0851. Only exchange execution accounts skip that price check on limits.

That changes what the order is good for. It suits a style where you want the break confirmed but refuse to chase, and it fills on the retest many breakouts give within a few minutes.

The resting limit is the part to manage. If the breakout fails and price drops back through, that buy limit is still waiting and fills on the way down, so I give each one an expiry of about five minutes.

To answer the question, yes, and the misses are biased. The cleanest moves rarely come back to the trigger, so in my log the unfilled ones ran further than the filled ones on average.

Does anyone get true worst price limit behaviour on an MT5 retail account? I have only seen it on exchange style setups.