A stop order is often described as a way to cap a loss at a chosen level. It is more accurately a trigger, and what happens after it fires depends entirely on the market at that moment.
The trigger and the fill are separate events
A stop sits inert until the market reaches the trigger price. At that point the venue submits an order on the trader's behalf.
If that order is a market order, it takes whatever prices are available. The trigger determined when to act, not what price was obtained.
In calm conditions the two are nearly identical and the distinction never surfaces. In a fast move they can be far apart, and the difference is where the surprise lives.
Volatility and depth deteriorate together
The conditions that push a market through a stop level are the same conditions that thin out the book. Market makers widen quotes and reduce size when uncertainty rises.
A stop firing into that book walks through several levels to fill, so the realised price sits well beyond the trigger.
Nothing has malfunctioned. The instruction was carried out exactly as written, against a market that was momentarily much shallower than the one the trader was watching when they placed it.
Clustered stops feed the move
Traders choose stop levels using similar reasoning: below a recent low, under a round number, at a familiar retracement level.
That clustering means many stops fire within a narrow band, and each one becomes a market order in the same direction at the same instant.
The result is a burst of one-sided flow into a thinning book, which extends the move and triggers the next cluster below it. The cascade is a consequence of shared reasoning rather than of anyone hunting anybody.
Limit stops trade one risk for another
Setting a stop that submits a limit order caps the price accepted, so the trader cannot be filled far beyond the trigger.
The cost is that the order may not fill at all. If price passes straight through the limit and keeps going, the position stays open and the loss keeps running.
Neither variant is safer in general. One accepts price uncertainty to guarantee exit, the other accepts exit uncertainty to guarantee price, and the right choice depends on which failure is worse for the position.
Where the stop is held changes its behaviour
Stops resting on an exchange are visible to that venue and execute against its book alone, so a wick on one platform can trigger them even if other venues never traded there.
Stops held locally by a trading system are invisible to the venue but depend on that system being connected and responsive at the moment they are needed.
Derivatives platforms add a third consideration, since liquidation engines act on an index price rather than the platform's own last trade, which is why a position can survive a wick that appeared to breach its level.