Implementation guide · Order Execution
Slippage: Measuring Expected Price Against Fills
Measure buy and sell slippage with a declared sign convention, weighted fills and timestamps, while separating spread, fees and market movement.
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Published by FxTrusts, a supplier of brokerage and prop firm technology. Prepared with AI-assisted research and drafting; reviewed against the cited public sources. Examples are illustrative. Product links describe our services.
Quick answer
Slippage compares actual execution with a specified reference price. Declare the reference, trade side, units and sign convention before calculating it. Under an adverse-positive convention, buy slippage is fill minus reference, while sell slippage is reference minus fill; favorable differences are negative.
Define the baseline before judging the outcome
A reference might be the quote seen by the user, the quote at order receipt or another agreed benchmark. Those are not interchangeable timestamps. The selected price side also matters: comparing a buy fill with a bid includes the spread, while comparing it with an ask can isolate a different question. Preserve the benchmark definition in a report so readers know which difference has actually been measured.
Keep buy and sell signs consistent
For an adverse-positive convention, a buy filled above its reference is positive slippage because more was paid. A sell filled below its reference is positive slippage because less was received. Favorable execution produces a negative number. Other conventions exist, so a column labelled slippage should state its rule. Never combine buy and sell differences using one subtraction direction unless the report deliberately transforms the signs first.
Aggregate fills using quantity weights
When an order executes in several pieces, calculate the weighted average price from the individual quantities and prices. Compare that average with a common reference only if using one reference is appropriate for the entire order. More detailed analysis can benchmark each fill separately. Keep price differences, monetary impact and fees separate: multiplying by units gives a cash equivalent only under a compatible linear contract model.
Use the metric as evidence, not a verdict
A difference can reflect market movement, available quantity, routing, timing or other execution conditions. One unfavorable observation does not establish deliberate misconduct, and a favorable one does not prove consistently better execution. A broker review should consider a representative sample, trade size, instrument, sessions and benchmark quality. The FX Global Code offers relevant wholesale-market disclosure context without turning a simple slippage worksheet into a legal or performance certification.
Buy and sell results under one sign convention
Assume a common reference of 100.00 and linear units. A buy receives 30 units at 100.02 and 70 at 100.04, producing a weighted fill of 100.034. Adverse slippage is 0.034 per unit, or 3.40 across 100 units. A separate sell at 99.97 has adverse slippage of 0.03 per unit. Fees and currency conversion are excluded.
| Case | Calculation | Adverse-positive result |
|---|---|---|
| Weighted buy fill | (30 × 100.02 + 70 × 100.04) ÷ 100 | 100.034 |
| Buy slippage | 100.034 − 100.00 | +0.034 per unit |
| Sell slippage | 100.00 − 99.97 | +0.03 per unit |
| Favorable buy example | 99.99 − 100.00 | −0.01 per unit |
Implementation checklist
- State benchmark price, side and timestamp.
- Document whether positive values mean adverse or favorable execution.
- Weight multiple fills by quantity and retain their source records.
- Avoid double-counting spread or treating a small sample as a performance guarantee.
Sources
These documents support the reference. Check the original publication for current requirements and the limits of its scope.
- MetaTrader 5 trading principleswww.metatrader5.com
- SEC trading basics investor bulletinwww.investor.gov
- FX Global Codewww.globalfxc.org
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