Slippage is not inherently bad
In a genuinely fast market, the price you requested may no longer exist by the time your order arrives. Filling at the next available price is correct behaviour, and it will sometimes work in your favour. A broker whose slippage is symmetrical — helping you as often as it hurts — is behaving exactly as a neutral intermediary should.
The asymmetry test
Export three months of trades and compute the mean slippage on entries separately from exits, and positive separately from negative. If negative slippage occurs three times more often than positive, or averages twice the magnitude, you are not observing market physics. You are observing a policy.
Reducing what you can control
- —Avoid transacting inside the rollover window unless the strategy specifically requires it.
- —Use a news filter with a buffer rather than trading through scheduled releases.
- —Set a maximum deviation on order execution so genuinely bad fills are rejected rather than accepted.
- —Track slippage as a monthly metric next to return. It is a leading indicator of broker relationship quality.
Slippage is the only cost that grows quietly while your returns still look acceptable.
Separating slippage from spread widening
Operators frequently attribute to slippage what is actually spread widening, and the distinction matters because the two have different causes and different remedies. Slippage is the difference between the price your order requested and the price it received; widening is the market's quoted cost of transacting at that moment. Both can hurt, but only one implies a problem with your execution venue.
Instrument the difference
- —Record the bid, the ask and the requested price at order submission.
- —Record the executed price and the timestamp of the fill.
- —Slippage is executed minus requested; widening is the spread at that instant against your baseline.
- —Tag each observation with the session and whether a release occurred within five minutes.
When slippage is a symptom rather than a cost
Symmetric slippage — sometimes better, sometimes worse, averaging near zero — is normal market friction. Consistently negative slippage across hundreds of orders is not friction; it is either a venue problem or a strategy that systematically demands liquidity at the worst possible moment. The fix for the first is a different broker; the fix for the second is a different order placement rule.
Reading your own distribution
A distribution with a fat negative tail concentrated around scheduled releases is not a broker problem. It is an argument for a news filter, which is why one exists in our rules engine by default rather than as an option.
Everything discussed here is applied on a public, third-party verified account — updated continuously, losing weeks included.