According to wikipedia there are 3 types of steel based on the crystal structure: austenitic, ferritic and martensitic. Austenitic steels are non-magnetic where 300 series stainless steels belong to. Ferritic steels have magnetic properties. But I didn't manage to find any information about martensitic steel magnetic properties.
In particular I am interested in stainless steel alloy 455. According to the data I have this steel is magnetic (though didn't manage to find the source of this data). But when I obtained a sample of this steel It appeared to be non-magnetic. This brings to possibilities: either my source is wrong or the sample I got is not steel 455.
Upd. Turned out that the samples I got were “accidentally” made of austenitic steel 304 instead of requested 455.