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Slippage

Slippage — The difference between the price you expected to trade at and the price you actually got.

Slippage is the clearest example of something that costs you real money every month and appears nowhere in the file your broker gives you. Any tool claiming to measure it from a statement alone is inventing it.

In plain English

You click buy expecting 1.08412. The order fills at 1.08419. Those 0.7 pips are slippage. On one trade it is trivial; across a few thousand it is one of the largest costs in the account, and unlike commission it is never itemised anywhere.

It happens because the price you saw was a quote from a moment ago and the market moved between your click and the fill. That gap widens around economic releases, at the daily rollover, in the first seconds of a session, and whenever liquidity thins. It can go in your favour — positive slippage is real — but in aggregate it is a cost, because the conditions that produce it are the conditions in which price is moving away from you.

Stop-loss orders slip in one direction almost exclusively, which is worse than it sounds: it means your actual worst case is reliably worse than your planned worst case. A trade you sized to lose 1R can settle at −1.15R for no reason you controlled. Over a few hundred stopped-out trades that difference is a meaningful share of an edge.

Worked example — the demo account

This is the one term in this glossary with no worked example, and the absence is the finding.

An MT4 or MT5 statement contains, for each closed trade: the ticket, the times, the type, the size, the symbol, the open and close prices, the last stop and target values, and the money. It does not contain the price you asked for, the price displayed when you clicked, or the moment the order left your terminal. Slippage is the difference between two prices and the file only ever records one of them.

So TapeSheet does not report slippage, and neither can any other tool that works from a statement — however it is presented. If a product shows you a slippage figure derived from an uploaded statement, ask which two prices it subtracted.

There are two honest ways to get at it. The first is your terminal’s Journal tab, which logs the requested price and the fill for every order and is the only true record; it is local to the machine that placed the trade and is not part of any statement export. The second is a journal habit: record your intended entry when you take the trade, and the gap against the statement’s open price is your slippage on that trade, measured rather than guessed. TapeSheet’s per-trade notes field exists for exactly this class of fact — things that are true about a trade and are not in the file.

What this does not tell you

The caveat is the part worth reading. Most tools put it in a footer, if they print it at all.

• Your statement’s open price is the fill, not the request. It already includes the slippage, silently. That is why the number cannot be recovered from it: the evidence has been absorbed into the result.
• Spread and slippage are different costs and are easy to confuse. Spread is the gap between bid and ask and you pay it on every trade by construction. Slippage is a gap between expectation and execution and varies with conditions. Both are invisible in the P&L column, having already been deducted.
• A statement cannot show requotes or rejected orders either. Trades that never happened leave no trace, and “the fill I did not get” can be more expensive than any fill you did.
• Backtests and demo accounts usually understate it to near zero. A strategy whose edge is a few pips per trade can be profitable in a backtest and unprofitable live for this reason alone, and no amount of statement analysis will reveal it — only comparing the two records will.

Where TapeSheet shows it

Not reported, because it is not in the file. What TapeSheet does show is every cost that is recorded — commission, swap, and any fees, per trade and totalled on the Overview (−$329.04 of commission across the demo account’s 96 trades). For slippage, use your terminal’s Journal tab, or record your intended entry in the trade’s notes and compare.

Questions

Related terms

• Pip — The standard smallest price increment for a currency pair — 0.0001 for most, 0.01 for pairs quoted against the yen.
• R-multiple — A trade result expressed as a multiple of the money you planned to risk on it — a +2R trade made twice what you were prepared to lose.
• Lot — The unit of position size in forex — one standard lot is 100,000 units of the base currency.
• Expectancy — The average amount you win or lose per trade, across every trade — the arithmetic mean of your results.

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