Share New Research 
I am placing stops like below and they sometimes get executed instantaneously, both in backtests and live paper trading. On the image, you can see that a JD position was opened on the close of the bar at 9:31, but the stop was executed right away at a price that is outside the range of the bar.
quantity = math.floor(self.Portfolio.TotalPortfolioValue * 3 / symbolData.Bars[0].Close)
stopPrice = symbolData.Bars[0].Close- (symbolData.Bars[0].Close * Decimal(0.0166))
self.CurrentOrder = self.MarketOrder(symbol, quantity)
self.CurrentStopOrder = self.StopMarketOrder(symbol, -quantity, stopPrice)
Gurumeher Sawhney
It seems like the short stop market order is trying to sell stocks when the price is lower than the stop price. That is what would lead to an immediate fill of the order. In order to debug this further try and use OnOrderEvent for more details. The timestamp on the trade page might not be the exact order filling time but with OnOrderEvent could provide deeper insight to the specific reason. OnOrderEvent(OrderEvent) provides with properties such as FillPrice, Status and UtcTime.
Pier-Olivier Marquis
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