Core terms
Stop order (stop-loss order)
An order that becomes a market order once a trade occurs at or through the stop price. The stop price is a trigger, not a guaranteed fill price.
A sell stop at $4.50 does nothing while the stock trades above $4.50. When a trade prints at or below $4.50, the stop is triggered and becomes a market order, which then fills at whatever the bid is. In a fast drop, a gap down or a reopening after a halt, that can be well below $4.50.
FINRA Rule 5350 governs how member firms trigger stop orders. Brokers differ on whether stops are held on their own servers, which trades can trigger them, and whether they work outside regular hours.
What traders should verify
Expect slippage on stops in thin stocks. Know your broker's trigger rules and whether a stop can be triggered by an odd-lot or off-exchange print.
Do not conflate
A stop does not cap your loss at the stop price. Stops clustered just below obvious levels can be triggered together.