WHAT IS SLIPPAGE?

Every trade has a price you asked for and a price you got. They are rarely the same. That difference is slippage. It is not a broker trick. It is a structural feature of any market with finite latency and finite liquidity. You cannot eliminate it. But you can measure it, price it in, and reduce it.

What slippage actually is

Slippage is the difference between the price quoted at the moment you made your decision and the price executed at the moment your order was filled. It is measured in pips. If you click buy at 1.08500 and get filled at 1.08503, you have 0.3 pips of negative slippage. If you get filled at 1.08497, you have 0.3 pips of positive slippage.

The formula is simple. What makes it complicated is that slippage is not constant. It varies by instrument, by session, by broker, and by order type. On a calm Tuesday afternoon in London, EURUSD might slip 0.1 pips. The same pair during NFP can slip 15 pips on a stop. Same market, same order, 150× the cost.

The key word in the definition is requested. Not "expected," not "indicated," not "quoted on the chart." The price that was live at the moment your order left your platform. By the time it reached the broker's engine, the market had moved. The fill you got was the market's price at the moment of execution, not the price at the moment of your decision.

Negative, positive, and zero

Slippage has three outcomes. Not two. Most education only covers the bad one, but all three matter for how you price risk.

Positive slippage is not a myth. Saxo Bank's published execution data shows EURUSD resting limit orders receive price improvement 25.7% of the time, with an average improvement of 0.6 pips. That is a broker passing favourable fills through to clients. Not every broker does this.

Three things stand out from that table. First, positive slippage is common at brokers that pass it through. Second, the ratio of positive to negative varies enormously between brokers. Saxo is near-balanced with a net average of just 0.1 pips. XTB is also balanced at roughly 1:1. Third, the average slippage numbers from community data cluster tightly: 0.3–0.4 pips on EURUSD in normal conditions. That is a fair estimate for any major broker in a calm market.

Why it happens

Slippage has four structural causes. They are not interchangeable. Each one requires a different mitigation.

• Latency slippage on market orders. Between the click and the fill, price moves. The order fills at the available price, not the price you saw. Magnitude depends on platform speed, network distance, and broker order handling. This is the most common form on entries.
• Trigger slippage on stop orders. A stop does not become a market order until the trigger price is hit. Once triggered, it executes wherever the market is at that moment. In fast markets — news, gaps, low liquidity — the executed price can be far below the stop level on a sell stop, or far above on a buy stop.
• Liquidity slippage on large orders. A trade larger than the top-of-book liquidity sweeps through deeper levels of the order book, executing partially at each. Negligible on a 0.1-lot retail trade. Meaningful on 10-lot institutional sizes.
• Last-look slippage. Some liquidity providers reserve a brief window to accept or reject an incoming order after seeing it. If they reject, the trader is re-quoted at the new price. Last look is allowed under most regulators if disclosed.

The last point matters more than traders realise. Last look is legal in most jurisdictions. It is disclosed in the execution policy of many brokers. It is not fraud. But it is a structural advantage held by the liquidity provider over the retail trader. Knowing it exists is the first step to evaluating whether your broker's execution quality matches its marketing.

What it costs in real trades

Slippage on a single trade sounds small. The waterfall below shows what it costs in the worst case: a stop-loss triggered during a major news event. Each step stacks on top of the previous one — the $200 expected loss becomes $320 when spread widens, then $470 when slippage is added.

The lesson is not "never trade news." The lesson is: when you trade news, your stop is not your risk. Your stop plus expected slippage plus widened spread is your risk. A 20-pip stop in a calm market is a 20-pip stop. A 20-pip stop during NFP is a 40–50 pip risk, and that is the number your position size needs to be calculated from.

This is the practical consequence of slippage. If you do not price it in, you are risking more than you think. The position sizing from Lesson 2 still works. It just needs the real stop distance, not the one on the ticket.

Symmetric vs asymmetric brokers

The single most consequential difference between brokers on slippage is not the average magnitude. It is the direction. Some brokers pass positive slippage through to clients. Some keep it. Some pass it through on some order types and not others.

The table below shows this in published data from multiple sources. Saxo Bank publishes detailed execution statistics broken down by order type and instrument. FXCM publishes annual slippage data. XTB publishes quarterly reports. Pepperstone and Axi have verified community data from active traders. The absence of published execution data is itself a signal.

Multiple brokers, multiple data points. Saxo is near-balanced with net average slippage of just 0.1 pips on stops. FXCM skews strongly positive. XTB is near 1:1. Pepperstone and Axi cluster around 0.3–0.4 pips average in community testing. Same market, same order flow, different execution policies. That is the number that matters when choosing a broker for a strategy that trades frequently.

When this fails

Three assumptions break down in practice: