The short answer
A stop loss decides where you plan to exit a losing trade. It does not decide the price you actually get. Once price touches the stop it becomes a market order, so the fill can land beyond the stop, and a gap can skip the stop level entirely. A stop limits your risk in normal conditions. It does not put a hard ceiling on your loss.
What a stop does well
A stop does one job reliably: it makes the exit decision before the trade, when you are calm, instead of during it, when you are not. It also lets you size the trade. If you know the stop is 30 points away, you know roughly what one contract can cost.
On ES, one point is $50 and one tick (0.25 points) is $12.50. On MES, one point is $5 and one tick is $1.25 (CME Group contract specifications). A 30-point stop is 120 ticks, which is $150 per MES contract and $1,500 per ES contract. That is the planned loss. The three things below are how the real loss can be bigger.
1. Slippage
When a stop is touched, your broker sends a market order. A market order takes the best available price, which in a fast market may be several ticks away from the stop price.
Example, with round numbers: you are long 2 MES with a stop at 5,970.00. Price drops quickly and your order fills at 5,969.00. That is 1 point past the stop, which is 4 ticks. The extra loss is 4 ticks x $1.25 x 2 contracts = $10. The same slippage on 2 ES contracts costs 4 x $12.50 x 2 = $100.
On a quiet day slippage on a liquid contract like ES or MES is often zero or one tick. It grows when price is moving fast, which is exactly when stops fire.
2. Gaps
A gap is when price opens, or reopens, away from where it last traded, so there is no trade at the stop level at all. The stop is triggered by the first trade at or through it, and the fill follows.
Example: you are long 1 ES with a stop at 5,970.00, held overnight. News arrives and the market reopens at 5,940.00. Your stop triggers and fills near 5,940.00 or worse, not at 5,970.00. The planned loss was 30 points, or $1,500 on one ES contract. The actual loss is closer to 60 points from an entry near 6,000.00, which is $3,000, twice the plan.
This is the reason overnight and weekend positions carry a different kind of risk than positions flat before the close. The Quanntick Day Trader trades only the US cash session and is flat before it closes. The Trend Follower can hold positions overnight, so gap risk applies to it.
3. Where the stop lives
A stop that is placed as an order at the broker keeps working if your computer or internet drops. A stop that is only a rule in software on your own machine does not. When you automate, check which one you have. Quanntick places the stop and target with the broker when the entry fills, and its question page on internet drops explains what that means in practice.
How to size for a worse fill
You cannot remove these risks, but you can plan for them:
1. Decide the loss you can accept if the stop fills at the planned price. 2. Then ask what happens if the fill is twice as far. If that number is too large, trade fewer contracts or switch from ES to MES. 3. Be careful around scheduled economic releases and the open, when price is most likely to move fast. 4. Know whether you hold overnight or weekend. That is when gaps happen.
With a 30-point stop and a $10,000 account, 1 MES risks $150 (1.5%) at the planned stop and $300 (3%) if the fill is twice as far. 3 MES risks $450 (4.5%) planned and $900 (9%) if the fill is twice as far. The second number is the one to check.
How to see it for yourself
Paper trading on real-time data shows you how stops fill around the open and news. It does not reproduce live liquidity exactly, so treat paper fills as a guide, not a guarantee.