I learned this the hard way also. Here's what I think happens - "stop" orders are visible on certain trading screen levels so your stop order can be targeted by vampire Brokers/Traders who specialize in this blood sucking crap. I've seen examples where stops are hit as much as 10% below the last price. It usually happens to low priced / thin volume stocks that can be manipulated easily. Take a look at some of the small junior gold stocks after the close - the bid and ask spreads are as much as 10% on either side of the closing price. How do you place a close stop? Who sets those and why? I assume it is to catch any market orders or maybe stop orders that are placed by traders who haven't been burned yet. You would think that the SEC would gut these slimey shills.....oh, I forgot - the SEC staff is made up of the very best slimey vampire broker bastards. So, sometimes stops can work against you on small stocks. It may be worth a call to your broker to have them take a look at the price action that took you out - they may have some suggestions to help.