Slippage & Fill Quality
Slippage is one of the most misunderstood concepts in trading. It's not inherently bad — it's a natural consequence of price movement during order processing. What matters is whether slippage is symmetrical (both positive and negative) and whether the broker's infrastructure minimizes unnecessary slippage through fast execution and deep liquidity.
What Slippage Actually Is
Slippage is the difference between the price at which you expect to execute and the price at which your order actually fills. If you submit a buy order at 1.1050 and it fills at 1.1052, you've experienced 2 pips of negative slippage. If it fills at 1.1048, that's 2 pips of positive slippage (price improvement). In live markets with genuine price feeds, some slippage is inevitable because prices move continuously while orders take time to transmit and process.
Symmetry: The Key Fairness Test
In fair execution, slippage should be approximately symmetrical: the frequency and magnitude of positive slippage should be comparable to negative slippage. If a broker shows 70% negative and 30% positive slippage, something is wrong — the broker may be capturing positive slippage for itself, applying last-look, or manipulating prices. Published slippage distribution data is one of the most powerful tools for evaluating broker fairness.
Fill Ratio and Partial Fills
Fill ratio measures what percentage of your order volume actually gets executed. A 100% fill ratio means every order is fully filled. Partial fills occur when only part of the requested volume is available at the requested price — the rest is either canceled, held, or re-priced. High fill ratios indicate deep liquidity and robust LP connections. Partial fill rates above 5-10% suggest the broker's LP pool lacks sufficient depth for the order sizes being processed.
Kill or Fill and Order Types
Different order types interact with slippage and fill quality differently. Kill or Fill (Fill or Kill) orders demand complete immediate execution — if the full volume isn't available, the entire order is canceled. Market orders accept slippage in exchange for guaranteed execution. Limit orders guarantee price but not execution. Understanding these tradeoffs is essential for managing the relationship between execution certainty and price quality.
Measuring and Minimizing Slippage
Slippage is minimized through: (1) fast execution infrastructure that reduces the time between order submission and fill, (2) deep liquidity that provides volume at the quoted price, (3) SOR that routes to venues with the best current conditions, and (4) avoiding last-look LPs that selectively reject favorable price movements. Tracking slippage as a distribution (not just an average) reveals the true execution experience.