What slippage is normal? Stats on my 4621 trades

MarkDragon

Newbie
Jan 20, 2016
3
2
3
39
Hi all!

I’ve been trading for about 5 years - algo trading on the majors, doing 5 to 50 intraday trades per day per symbol, flat at the end of each session.

I’ve been analyzing my trades - profits and losses, and recently I have figured out the exact impact of slippage on my trading results. Below is the explanation of my measurements and calculations. Pretty substantially not in my favor I must say.

I built a script to calculate the differences between the prices my algo sees when sending trades and actual execution prices. My algo is hosted on a VPS CNS and I’m trading on a Pepperstone Razor account, so the latency to broker’s server is not more than 1 ms.

I’ve collected data for more than 1.5 months and now I have stats on 4621 trades and got following results:



This means on average I lose about 1.71 pips (4th decimal) on slippage each trade .
Having 10 trades a day means that I lose on slippage 17.1 pips a day -> 376.2 pips per month -> 4,514.4 pips a year.


When I calculate the sum in USD the figure really scares me - it’s 4 times more than I have in my account!!! If I could keep this money I’d be way closer to retiring.

At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?
 
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ijak8510

Trader
Sep 29, 2015
83
6
19
32
i trade with a variable spreads broker, and i think it is normal for variable brokers or EcN brokers have slipage.
i think if someone want to reduce losses from slipage. my solutiion will be trade with fixed spreads broker.
and talking about slipage. perhaps this article helps
 

jellyeb

Active Trader
Jun 10, 2015
248
11
29
Too much slippage I think, getting less with my broker. What lot size do you use with them?
 

MarkDragon

Newbie
Jan 20, 2016
3
2
3
39
Fixed/variable spreads have nothing to do with slippage. Slippage depends on the execution model - Instant or Market.

So as an outcome we can say that the slippage depends on availabe Market Depth (volume, spread) and current volatility + trades processing time.

So yesterday I’ve tried out a following combination: an FXCM standard account + TradeMUX trading platform. FXCM underlines a great pool of competing liquidity providers, TradeMUX talks about trades processing time of 100 nanoseconds.

Here are the stats:


Looks very good to me so far... 40,19% less round turn slippage - really cool...

I’ll collect more stats - let’s look at the figures during the week…
 
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Jason Rogers

Master Trader
Sep 16, 2011
22
1
49
New York, NY
www.fxcm.com
So as an outcome we can say that the slippage depends on availabe Market Depth (volume, spread) and current volatility + trades processing time.

So yesterday I’ve tried out a following combination: an FXCM standard account + TradeMUX trading platform. FXCM underlines a great pool of competing liquidity providers, TradeMUX talks about trades processing time of 100 nanoseconds.

Here are the stats:


Looks very good to me so far... 40,19% less round turn slippage - really cool...
That's very cool indeed, Mark! Thanks for sharing this info. On a personal note, I'm glad to see your own trading results confirm the quality of FXCM's execution.

I'm curious though: you mention slippage without making a distinction between positive slippage and negative slippage. Do you have any data incorporating that?

At your brokers - what slippage do you see?
With FXCM it's possible to receive positive slippage where your orders are filled at a better price than you requested. A twelve-month study of orders executed through FXCM showed that:
  • 76.2% of all orders had NO SLIPPAGE.
  • 13.5% of all orders received positive slippage.
  • 10.2% of all orders received negative slippage.
  • Over 58% of all limit and limit entry orders received positive slippage.
  • 52% of all stop and stop entry orders received negative slippage.
Positive slippage is more common with limit orders, while negative slippage is more common with stop orders. That is due to the momentum of price movement when such order types are triggered.

What do you do to reduce your losses from slippage?
FXCM provides traders with tools to help you minimize negative slippage and still receive the full benefits of any positive slippage that's available in the market.
  1. Market Range (AKA Maximum Deviation* on our MT4 platform) lets you specify how much negative slippage you are willing to accept on a market order. If you set a Market Range of 2, then 2 pips is the most negative slippage you could get on the order. Otherwise it will be canceled to protect you from unwanted negative slippage. However, you could still receive 3 pips or even more positive slippage on the order, if a better price is available in the market.
  2. Range Entry works like Market Range but for pending orders (stops and limits) and is only available on our Trading Station platform (not MT4).



* Many MT4 brokers do not support the Maximum Deviation feature at all. Some brokers that do offer Max Dev use it to limit both your positive slippage and your negative slippage equally. By contrast, FXCM enhanced the Max Dev functionality of our MT4 platform to limit only negative slippage. That means, you can still receive the full benefits of any positive slippage that's available in the market when you use the Max Dev feature to minimize your negative slippage with FXCM.
 

hayseed

Master Trader
Jul 27, 2010
444
115
109
usa
hayseedfx.com
Hi all!

At your brokers - what slippage do you see?
What do you do to reduce your losses from slippage?
//----

my experience here is limited to 4 brokers..... ibfx, etradefx, fxcm, and oanda..... all 4 were radically different in their business style..... ibfx and etradefx have wisely decided to exit the retail forex business and i sadly miss them both very much......

this leaves fxcm and oanda..... this is what i see.....

i've commented on fxcm's slippage many times in the past on other forums...... when using limit orders over 50% should receive positive slippage... my actual figure is much higher than that..... the bottom line impact of that positive slippage is small compared to the overall profit/loss of the order itself.... but regardless the positive slippage exists....

so using limit orders with fxcm will help in my experience.... and this is from 10,000's of orders from 4 different fxcm live accounts..... my accounts there are the ndd type so i was trading against banks which don't know i exist.....

with oanda, your pretty much trading against oanda's dealing desk ..... they for sure know you exist..... so it might appear your in harms way no matter what type orders you use.... still, i have not seen any noticeable slippage either way..... they seem very honest to me....

and for your second question...... i really don't try to 'reduce' my slippage..... even though when looking at the combined total from both it and spread might be seemingly high over the course of a year...... i try to reduce the impact of it on the overall profit/loss on the orders...... this is done by using fewer well thought out limit orders with large profit targets.....

of course that is a luxury many trading styles might not be able to use.....h
 

mr.gardner

Trader
Mar 14, 2012
35
0
17
In my opinion, there are many other factors that cost us money beside the slippage. Okay, if there is no slippage, then the broker may requote or widen the spread. As far as I know, slippage could occur when there is high volatility or you use EA that sends thousand of messages to the servers of your broker in seconds... Day traders must be aware of these factors but as a long term trader I don't care at all... I noticed that it is much better to use limit/stop orders and the brokers' execution definitely improves!
 

Twin butterfly

Active Trader
Apr 11, 2016
366
6
29
31
It will be very helpful that everyone here measure their slippage and compare together. Do any one having slippage calculation program?
 

Ary Barroso

Active Trader
Jul 9, 2017
908
61
39
31
No slippage usually. And I trade long-term, so it wouldn't have such a dramatic effect on my bottom line anyway.
Exactly; slippage is always irritating; especially on the news trading session; in my trading; I need smooth friendly trading platform.