Sell stop order

A pending instruction placed below the current market. Nothing happens while price stays above the level. Once the level is reached the instruction converts into a market order and is filled at the next price available, which can be the level, better than it, or a long way worse. The level is a trigger and not a fill price, and that single distinction accounts for most of the surprise this order type produces.

It also does two jobs. It opens a short position on a break below a level, which is the entry a breakout convention uses, and it closes a long position, which is the mechanism behind a stop loss attached to a long. The trigger is compared against the bid, since a sale is filled on the bid, and the fill is whatever the bid is when the order arrives.

The gap is the case worth understanding. Where a market opens well below the level, the first available price is the opening price and the order fills there, so the distance between the trigger and the fill is the distance the market travelled while nothing could be dealt. Protective orders also cluster just under levels that are visible on a chart, which makes that area a pool of resting sell interest, and a fast move through it is the observable phenomenon a stop run describes.