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Currently studying Market Microstructure. A proposition says that for liquidating a position, we never set a limit sell order, but a stop loss. Practically, shouldn't these be the same (stop loss onserves last price and limit sell the last bid)

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Limit sell is a plain limit sell order, sell stop is a market sell order triggered at the specified price

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A Limit sell order works by setting the target price where you want to sell. If this target price is less than the current best bid, then yes you are correct, it would be the same as the stop loss order. But if the target price is more than the current best bid, then it would just be a limit order on the ask side and it won't get executed.

A Stop loss order works by setting a threshold price, which is usually lower than the current traded price. Once this price is traded, the stop-loss order is triggered. And once it is triggered, it will act as a market order (not like the Limit Sell) and will sell at the market. So, you will get a fill at the best bid, wherever that is.

I have given a simple explanation ignoring slippage and short side condition.

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