Highlights

  • 23.67% of all stop, limit, 'at market', and entry orders received positive slippage
  • 12.52% of all stop, limit, 'at market', and entry orders received negative slippage
  • 67.70% of all limit and limit entry orders received positive slippage
  • 54.30% of all stop and stop entry orders received negative slippage

These highlights come from orders that executed through FXCM Group from 1 January, 2021 to 30 April, 2021. Data excludes certain types of non-direct clients.2

As you can see, with FXCM, positive slippage occurs as frequently as negative slippage. We believe that this reflects positively on our forex execution model, which aims to provide fair and transparent execution.

Table 1.1 Positive and Negative Slippage by Month

Slippage can occur for many reasons, but price volatility is often the largest contributor. Typically, as price volatility increases, slippage (both positive and negative) occurs more frequently; as price volatility decreases, slippage occurs less frequently. This is, for example, why traders typically see more slippage around news events.

DATE ORDERS
PLACED
NO
SLIPPAGE
PRICE
IMPROVEMENT
NEGATIVE
SLIPPAGE
NO
SLIPPAGE %
PRICE
IMPROVEMENT %
NEGATIVE
SLIPPAGE %
Jan. 21 6,954,920 4,319,539 1,725,932 909,449 62.11% 24.82% 13.08%
Feb. 21 6,619,320 4,236,019 1,558,731 824,570 63.99% 23.55% 12.46%
Mar. 21 7,767,079 4,870,770 1,909,186 987,123 62.71% 24.58% 12.71%
Apr. 21 5,584,302 3,753,099 1,180,790 650,413 67.21% 21.14% 11.65%
Total 26,925,621 17,179,427 6,374,639 3,371,555 63.80% 23.67% 12.52%

Table 1.2 Positive and Negative Slippage by Order Type

ORDER TYPE ORDERS
PLACED
NO
SLIPPAGE
PRICE
IMPROVEMENT
NEGATIVE
SLIPPAGE
NO
SLIPPAGE %
PRICE
IMPROVEMENT %
NEGATIVE
SLIPPAGE %
Close Market 7,012,434 4,718,899 1,638,074 655,461 67.29% 23.36% 9.35%
Limit 1,186,715 381,764 804,951 0 32.17% 67.83% 0.00%
Limit Entry 911,615 295,946 615,669 0 32.46% 67.54% 0.00%
Margin Call 689,807 412,120 128,237 149,450 59.74% 18.59% 21.67%
Open Market 12,077,709 8,570,834 2,419,761 1,087,114 70.96% 20.03% 9.00%
Stop 1,722,394 434,928 160,895 1,126,571 25.25% 9.34% 65.41%
Stop Entry 481,164 141,476 44,557 295,131 29.40% 9.26% 61.34%
Other 2,843,783 2,223,460 562,495 57,828 78.19% 19.78% 2.03%
Total 26,925,621 17,179,427 6,374,639 3,371,555 63.80% 23.67% 12.52%

Total orders in the table above is comprised of only the order types listed.

Table 2.1 Market Orders by Order Size

Close Market Order, Open Market Order, Open Order, Close Range, Open Range, Close Order

ORDER SIZE ORDERS
PLACED
NO
SLIPPAGE
PRICE
IMPROVEMENT
NEGATIVE
SLIPPAGE
NO
SLIPPAGE %
PRICE
IMPROVEMENT %
NEGATIVE
SLIPPAGE %
< 0.5 19,190,052 13,409,204 4,058,023 1,722,825 69.88% 21.15% 8.98%
0.5 - 0.9 83,668 60,588 11,929 11,151 72.41% 14.26% 13.33%
1.0 - 1.9 50,730 34,433 4,428 11,869 67.88% 8.73% 23.40%
2.0 - 2.9 6,886 2,755 521 3,610 40.01% 7.57% 52.43%
3.0 - 3.9 3,268 763 255 2,250 23.35% 7.80% 68.85%
4.0 - 4.9 1,198 477 137 584 39.82% 11.44% 48.75%
5.0 - 9.9 3,633 998 325 2,310 27.47% 8.95% 63.58%
10 + 395 49 22 324 12.41% 5.57% 82.03%
Total 19,339,830 13,509,267 4,075,640 1,754,923 69.85% 21.07% 9.07%

Table 2.2 Limit Orders by Order Size

Immediately Executed Limit: Close Limit, Open Limit

ORDER SIZE ORDERS
PLACED
NO
SLIPPAGE
PRICE
IMPROVEMENT
NEGATIVE
SLIPPAGE
NO
SLIPPAGE %
PRICE
IMPROVEMENT %
NEGATIVE
SLIPPAGE %
< 0.5 2,473,448 1,946,948 526,500 0 78.71% 21.29% 0.00%
0.5 - 0.9 23,016 15,807 7,209 0 68.68% 31.32% 0.00%
1.0 - 1.9 8,060 6,304 1,756 0 78.21% 21.79% 0.00%
2.0 - 2.9 713 615 98 0 86.26% 13.74% 0.00%
3.0 - 3.9 654 546 108 0 83.49% 16.51% 0.00%
4.0 - 4.9 105 94 11 0 89.52% 10.48% 0.00%
5.0 - 9.9 1,723 1,629 94 0 94.54% 5.46% 0.00%
10 + 0 0 0 0 0.00% 0.00% 0.00%
Total 2,507,719 1,971,943 535,776 0 78.63% 21.37% 0.00%

Table 2.3 Margin Calls and Stop Orders

Stop and Margin Calls: Stop, Stop Entry, Trailing Stop, Trailing Stop Entry, Margin Call

ORDER SIZE ORDERS
PLACED
NO
SLIPPAGE
PRICE
IMPROVEMENT
NEGATIVE
SLIPPAGE
NO
SLIPPAGE %
PRICE
IMPROVEMENT %
NEGATIVE
SLIPPAGE %
< 0.5 2,952,209 1,002,804 340,233 1,609,172 33.97% 11.52% 54.51%
0.5 - 0.9 9,777 3,482 1,394 4,901 35.61% 14.26% 50.13%
1.0 - 1.9 2,896 936 420 1,540 32.32% 14.50% 53.18%
2.0 - 2.9 663 147 78 438 22.17% 11.76% 66.06%
3.0 - 3.9 207 29 25 153 14.01% 12.08% 73.91%
4.0 - 4.9 53 9 3 41 16.98% 5.66% 77.36%
5.0 - 9.9 91 16 10 65 17.58% 10.99% 71.43%
10 + 1 0 1 0 0.00% 100.00% 0.00%
Total 2,965,897 1,007,423 342,164 1,616,310 33.97% 11.54% 54.50%

Table 2.4 Resting Limit Orders

Resting Limit Orders: Limit, Trailing Limit Entry, Limit Entry

ORDER SIZE ORDERS
PLACED
NO
SLIPPAGE
PRICE
IMPROVEMENT
NEGATIVE
SLIPPAGE
NO
SLIPPAGE %
PRICE
IMPROVEMENT %
NEGATIVE
SLIPPAGE %
< 0.5 2,090,650 674,887 1,415,763 0 32.28% 67.72% 0.00%
0.5 - 0.9 4,457 1,528 2,929 0 34.28% 65.72% 0.00%
1.0 - 1.9 2,253 1,004 1,249 0 44.56% 55.44% 0.00%
2.0 - 2.9 587 226 361 0 38.50% 61.50% 0.00%
3.0 - 3.9 236 44 192 0 18.64% 81.36% 0.00%
4.0 - 4.9 192 77 121 0 38.89% 61.11% 0.00%
5.0 - 9.9 130 40 90 0 30.77% 69.23% 0.00%
10 + 0 0 0 0 0.00% 0.00% 0.00%
Total 2,098,511 677,806 1,420,705 0 32.30% 67.70% 0.00%

The above data comes from various order types that executed through FXCM Group from 1 January, 2021 to 30 April, 2021. Data excludes certain types of non-direct clients.2

Order size is calculated per the notional value of the order and displayed in MM USD.

Limit and limit entry orders will only execute at the requested price or better and cannot receive negative slippage. Any negative slippage on a limit or limit entry order is an error and clients are eligible to receive trade adjustments in the event that these errors occur. Price improvements are subject to available liquidity.

Additional Highlights

Based on data gathered from orders executed through FXCM Group from 1 January, 2021 to 30 April, 2021, we have found the following to be true:

  • Limit and limit entry orders are most likely to receive positive slippage.
  • Stop and stop entry orders are most likely to receive negative slippage.
  • 'Market range' market orders can help to prevent negative slippage.

EXECUTION CERTAINTY

Traders typically use order types that offer execution certainty when they want to ensure entry into the market.

PRICE CERTAINTY

Trader typically use order types that offer price certainty when they want to ensure that their orders are only filled if a particular price (or price range) is satisfied.

Selecting Order Types

There are several order types to choose from when trading forex. Each one is designed to address a specific trading need. Some order types are better suited for times when price volatility is high; some when it is low. Some order types are better suited for use around news events; some are more suitable to use when you hold positions open over the weekend.

The following information regarding order types may be helpful when deciding which order type to use.

Market Orders

A market order enters or exits a position immediately at the best available price.2 It is the most frequently used order type with FXCM.

Slippage Characteristics:

Market orders can receive positive slippage and negative slippage. A 'market range' market order provides price certainty but it does not provide execution certainty. An 'at market' market order provides execution certainty but it does not provide price certainty.

At Market and Market Range:

FXCM market orders include two order types: 'at market' and 'market range'.

Selecting 'at market' instructs the order to fill at the market price. This could be the price requested, a better price, or a
worse price depending on market conditions. The executed price is determined primarily by price volatility at the time the order executes.

Selecting 'market range' instructs the order to execute immediately only if the best available price is within a defined range of prices. If the only available price is outside of the defined range, the order will not execute. This order type guarantees price certainty but it does not guarantee execution certainty.

THE TAKEAWAY

Market Orders are beneficial when you want to enter or exit the market now. The 'At Market' order type guarantees execution certainty but not price certainty. The 'Market Range' order type guarantees price certainty but not execution certainty.

Entry Orders

An entry order will only trigger for execution if the market price reaches the entry order price.

Slippage Characteristics:

There are two types of entry orders: stop entry orders and limit entry orders. A stop entry order can receive both positive and negative slippage. A limit entry order is designed to only receive positive slippage.

Stop Entry vs. Limit Entry:

An entry order is considered a 'stop' entry order when the entry order price is a less favorable price than the current market price (i.e. a higher price when you are buying and a lower price when you are selling). This order type can be filled at the requested price, a better price, or a worse price depending on market conditions. Using this order type, especially around news events or other volatile market conditions, can subject you to negative slippage.

An entry order is considered a 'limit' entry order when the order price is a more favorable price than the current market price (i.e. a lower price if you are buying and a higher price if you are selling). This order type is designed to only fill at the requested price or better. Thus, traders gain price certainty but they do not have execution certainty when using this order type. Using a limit entry order to open trades, especially around news events or other volatile market conditions, may be a better option than using a stop entry order because negative slippage can be avoided.

THE TAKEAWAY

Entry orders are beneficial when you want to enter or exit the market at a future price. When trading around volatile market conditions a limit entry order can be used to open trades instead of a stop entry order if you want to potentially avoid negative slippage. Please note: limit entry orders do not provide execution certainty.

Stop and Limit Orders

A stop order is designed to execute at the market price. This could be the price requested, a better price, or a worse price depending on market conditions. It was designed this way because a stop order is most frequently used to exit a trade from a losing position. A stop order provides execution certainty but it does not provide price certainty, so negative slippage is possible.

A limit order is designed to execute at a specified price or better. For many traders, the limit order price is set at their profit target. Limit orders provide price certainty but they do not provide execution certainty because they are designed to only fill at the limit price or better.

Slippage Characteristics:

A stop order can receive both positive and negative slippage. A limit order is designed to receive positive slippage but not negative slippage.

THE TAKEAWAY

Stop and limit orders are beneficial when you want to exit the market at a future price. When trading around volatile market conditions a limit order can be used to close trades to provide price certainty.