What Is Slippage in Trading?

When you press Buy in MetaTrader, nothing is executed on your screen. The platform sends a request to the broker’s server, the request travels, waits its turn, and is then matched against whatever prices are available at that moment. If the market moved while all of that happened, the fill differs from the quote you clicked. That difference is slippage.

Whether a given difference helps or hurts depends on direction: for a buy, a higher fill is worse; for a sell, a lower one is. Trade reports therefore usually describe slippage as adverse or favourable rather than by sign.

Slippage is not a fee, and it is not always against you. It is the market moving during the gap between request and fill — and the market can move either way.

In quiet conditions, market-order slippage tends to be small and roughly two-sided. In fast markets it skews adverse, because your order arrives together with everyone else’s reaction to the same move — and the prices that would have improved your fill are taken first.

Every cause of slippage reduces to one thing: the best available price changed between the moment you decided and the moment the server matched your order.

The order type you use decides which kind of slippage you are exposed to. None of the three avoids the trade-off entirely; they just place it differently.

The stop order deserves the most attention, because its name suggests a guarantee it does not provide. The stop level is a trigger: when price reaches it, a market order is sent — and that market order fills wherever the market actually is.

Scheduled releases concentrate every cause of slippage into a few seconds. Liquidity providers widen their quotes or withdraw them just before the print, so the book is thinnest exactly when the most orders arrive. The first prices after the number are discrete jumps rather than a smooth sequence of ticks, so the “next available price” for a market or stop order can be several pips away.

The same mechanics widen the spread at the same moment, so a trade around a release often pays twice: a wider spread on entry and slippage on the fill. This is why two accounts running the same strategy can show very different costs depending on which hours and events the strategy trades through.

A strategy tester fills orders at the exact price recorded in its historical data. That quietly assumes the recorded price was available with zero latency, in your full size, with no queue — assumptions that are least true precisely where many strategies concentrate their trades: breakouts, stop entries and news moves.

The effect scales with how small the per-trade edge is. A scalping system that averages 1.5 pips per trade in a simulation loses half of that edge to 0.75 pips of average adverse slippage — a margin the backtest never modelled. The broader failure modes are covered in why backtests can be misleading; slippage is one of the most common.

Published slippage figures describe someone else’s account. Your own executed trades are the only sample that reflects your broker, account type, latency and order sizes — and MetaTrader history contains most of what you need.

• For stop and pending orders, compare the order’s set level with the actual fill price recorded in history. The difference is your slippage on that trade.
• For market orders, compare the quote at send time with the fill — harder by hand, but EA logs and journal entries usually record both.
• Group the results by symbol, hour of day and proximity to scheduled news to see where the cost concentrates.

One bad fill says little; a consistent skew per symbol or per hour says a lot. If you run EAs, the same comparison between live fills and simulated ones shows how much of a backtested edge survives real execution — the free MetaTrader Backtest Analyzer reads the tester’s own report as a starting point for that comparison.