Slippage
and Latency
Execution quality depends on market depth, routing speed, and order type behavior. Slippage and latency metrics make those hidden costs measurable.
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Key takeaways
- Latency accumulates hop by hop, and in a fast market those milliseconds change your price.
- One number for the whole path hides where the time went. Measure each hop separately.
- Median latency reads well. The slowest fills explain the prices you get around news.
- Slippage grows when the book thins or price jumps: rollover, big news, the weekend gap.
- Group fills by hour, spread width and volatility to tell bad luck from a broker problem.
Where Latency
Comes From
Breakdown of delay points from terminal click to final fill.
Delay adds up. Every hop between your platform and the venue costs milliseconds. In a fast market those milliseconds change the price you get.
Measure each hop on its own. One number for the whole path tells you nothing about where the time went.
Latency Map
Monitoring Stack
The typical number is useful. The slowest fills explain the worst prices you get around news.
Slippage
Scenarios
How different regimes and order types produce different fill outcomes.
Slippage grows when the book thins out or prices jump. Rollover, big news and the weekend gap are where it hurts most.
Sort it by order type and market state, then put the price you expected next to the price you paid.
Group your fills by time, by how wide the spread was, and by how wild the market was. That is how you tell bad luck from a broker problem.
High-Friction Scenarios
Prices move faster than your order, so less size is left at the price you widen fill variance.
Banks hand over the book to each other and the spread widens for a moment, reducing stop precision.
The market reopens somewhere else entirely, with nothing traded in between.
With a thin book even a normal-sized order pushes the price and increases partial-fill frequency.
A sudden run skips straight past your level and fills you at unfavorable ladder steps.
Someone pulls their orders for a second and slippage jumps even on a normal order size.
Slippage Classification Model
Frequently Asked Questions
What is slippage in forex execution?
The gap between the price you wanted and the price you got. It opens when the available size changes while your order is in flight.
What is trading latency?
The time between sending an order and hearing back. Your platform, your connection, the broker and the venue each add a piece of it.
Can slippage be positive and negative?
It goes both ways. Sometimes you get a better price, more often a worse one.
Is this page financial advice?
No. It explains how orders get filled. It gives no personal investment advice.
Continue Your Execution Science
Anatomy of an Order
Execution friction starts in the order-routing chain; this module maps each handoff.
Order Types & Stop Loss
Different order types produce different slippage behavior under volatility.
Backtest vs Forward Test
Include slippage and latency metrics to validate model assumptions in live conditions.
Trading Sessions & Liquidity
Session transitions and low-liquidity windows strongly affect fill quality.
Robots Rankings
Use live EA execution logs to benchmark spread sensitivity and latency-side outcomes.