Two days after we posted a note by a commodity trader according to whom "What Is Happening Has Absolutely No Reasonable Explanation" late last night we received another warning from a futures trader, one which is applicable to everyone who also trades futures and may be unfamiliar with the recent changes in Nymex and Globex "price banding."  This is what he said yesterday.

Hi, I'm a daytrader and I read your site almost every day. Something disturbing happened this morning. I bought a nymex copper contract with an attached stop limit and take profit. My stop got rejected by the exchange. I think it was in pending mode. I ignored it and when the market moved up, i moved the stop up. Then the exchange accepted it. My take profit order got hit instead. Then, I shorted an ES. Again, the market rejected my stop limit.

Luckily the market went down so I was able to play around with the stop to see what worked - i moved it within 4 points of the market, the exchange accepted it, and when it reversed, the stop got filled.