Highlights

  • 27.99% of all stop, limit, 'at market', and entry orders received positive slippage
  • 15.01% of all stop, limit, 'at market', and entry orders received negative slippage
  • 70.05% of all limit and limit entry orders received positive slippage
  • 55.11% of all stop and stop entry orders received negative slippage

These highlights come from orders that executed through FXCM Group from 1 January, 2022 to 30 April, 2022. 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. 22 5,002,260 3,004,938 1,275,844 721,478 60.07% 25.51% 14.42%
Feb. 22 5,327,285 3,006,691 1,518,045 802,549 56.44% 28.50% 15.06%
Mar. 22 6,660,757 3,738,626 1,914,437 1,007,694 56.13% 28.74% 15.13%
Apr. 22 5,120,339 2,853,990 1,480,262 786,087 55.74% 28.91% 15.35%
Total 22,110,641 12,604,245 6,188,588 3,317,808 57.01% 27.99% 15.01%

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 5,914,015 3,643,173 1,643,952 626,890 61.60% 27.80% 10.60%
Limit 1,236,746 370,406 866,340 0 29.95% 70.05% 0.00%
Limit Entry 906,742 271,556 635,186 0 29.95% 70.05% 0.00%
Margin Call 781,493 435,658 169,840 175,995 55.75% 21.73% 22.52%
Open Market 10,258,742 6,620,308 2,525,673 1,112,761 64.53% 24.62% 10.85%
Stop 1,537,776 328,838 151,733 1,057,205 21.38% 9.87% 68.75%
Stop Entry 450,924 115,213 42,336 293,375 25.55% 9.39% 65.06%
Other 1,024,203 819,093 153,528 51,582 79.97% 14.99% 5.04%
Total 22,110,641 12,604,245 6,188,588 3,317,808 57.01% 27.99% 15.01%

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 16,138,796 10,268,700 4,160,209 1,709,887 63.63% 25.78% 10.59%
0.5 - 0.9 96,953 64,235 17,244 15,474 66.25% 17.79% 15.96%
1.0 - 1.9 44,510 28,298 6,320 9,892 63.58% 14.20% 22.22%
2.0 - 2.9 8,130 2,250 946 4,934 27.68% 11.64% 60.69%
3.0 - 3.9 2,981 812 395 1,774 27.24% 13.25% 59.51%
4.0 - 4.9 1,829 192 72 1,565 10.50% 3.94% 85.57%
5.0 - 9.9 2,948 689 358 1,901 23.37% 12.14% 64.48%
10 + 1,815 292 86 1,437 16.09% 4.74% 79.17%
Total 16,297,962 10,365,468 4,185,630 1,746,864 63.60% 25.68% 10.72%

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 %
< 0.5 781,177 655,717 125,458 0 83.94% 16.06% 0.00%
0.5 - 0.9 17,783 15,801 1,981 0 88.85% 11.14% 0.00%
1.0 - 1.9 16,003 14,585 1,418 0 91.14% 8.86% 0.00%
2.0 - 2.9 1,410 1,271 139 0 90.14% 9.86% 0.00%
3.0 - 3.9 461 429 32 0 93.06% 6.94% 0.00%
4.0 - 4.9 93 85 8 0 91.40% 8.60% 0.00%
5.0 - 9.9 1,049 1,025 24 0 97.71% 2.29% 0.00%
10 + 0 0 0 0 0.00% 0.00% 0.00%
Total 817,976 688,913 129,060 0 84.22% 15.78% 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 2,823,665 888,412 370,753 1,564,500 31.46% 13.13% 55.41%
0.5 - 0.9 7,522 3,360 859 3,303 44.67% 11.42% 43.91%
1.0 - 1.9 2,694 1,122 354 1,218 41.65% 13.14% 45.21%
2.0 - 2.9 395 65 50 280 16.46% 12.66% 70.89%
3.0 - 3.9 159 20 23 116 12.58% 14.47% 72.96%
4.0 - 4.9 36 8 4 24 22.22% 11.11% 66.67%
5.0 - 9.9 112 9 10 93 8.04% 8.93% 83.04%
10 + 1,211 17 10 1,184 1.40% 0.83% 97.77%
Total 2,835,794 893,013 372,063 1,570,718 31.49% 13.12% 55.39%

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 2,125,040 634,713 1,490,319 0 29.87% 70.13% 0.00%
0.5 - 0.9 5,973 2,145 3,828 0 35.91% 64.09% 0.00%
1.0 - 1.9 3,018 1,198 1,820 0 39.70% 60.30% 0.00%
2.0 - 2.9 2,605 984 1,621 0 37.77% 62.23% 0.00%
3.0 - 3.9 764 289 475 0 37.83% 62.17% 0.00%
4.0 - 4.9 1,151 459 692 0 39.88% 60.12% 0.00%
5.0 - 9.9 333 128 205 0 38.44% 61.56% 0.00%
10 + 4,646 2,055 2,591 0 44.23% 55.77% 0.00%
Total 2,143,530 641,971 1,501,551 0 29.95% 70.05% 0.00%

The above data comes from various order types that executed through FXCM Group from 1 January, 2022 to 30 April, 2022. 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, 2022 to 30 April, 2022, 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.