To start with, I will remind you some normal data info:
a. The decrease the liquidity, the larger the unfold. You may as well give it some thought the opposite manner: the large unfold means a low liquidity.
b. The liquidity (and thus the unfold) depends upon the image. Some pairs (EURUSD, GBPUSD) have the next liquidity even out-of-hours, whereas others (EURCHF, USDCHF) have a decrease liquidity. This may be seen by merely observing the unfold, and you do not even have to do that dwell as a result of the actual unfold will be analyzed even from backtests finished on MT5.
c. Slippage is regular, particularly throughout low-liquidy durations such because the rollover interval. The slippage will be each constructive and destructive, and it (usually) is random. Some merchants will get their orders executed with constructive slippage whereas others will get comparable orders executed with destructive slippage (I will clarify and show this later with some screenshots).
Now, in regards to the USDCHF commerce from 2022.07.13-2022.07.14. I will talk about it based mostly on the trades finished on IC Markets dealer, however the identical may’ve occurred on different ECN brokers.
The order positioned was a BUY LIMIT order. It was positioned after 2022.07.13 23:00 dealer’s time, and was activated at round 2022.07.14 00:03 dealer’s time. Now, right here already had been some variations within the commerce execution. The order ought to’ve been activated at ~0.97823. This was the extent for the BUY LIMIT order. Nonetheless, the next 2 ticks had been 0.97816 and 0.98044.
The distinction between them is of 228 factors which is big.
The primary tick (0.97816) was the one which triggered the execution of the BUY LIMIT order. Until then there was no tick with the value decrease than 0.97823, so there was nothing to set off the execution of USDCHF BUY LIMIT order.
Now, an vital discover – the quantity of orders to be stuffed is proscribed, as you most likely know, and due to this fact not everybody’s order was stuffed at 0.97816 (which might’ve imply a constructive slippage of ~7 factors). As soon as the present orders had been stuffed at 0.97816, the subsequent had been stuffed on the subsequent obtainable value – 0.98044 (which meant ~221 factors of destructive slippage). It is a lot, is not it? I will repeat, despite the fact that the primary tick which triggered the execution of BUY LIMIT was at 0.97816, the execution itself is not essentially finished at that particular tick’s value (0.97816). If there aren’t any extra orders to be stuffed at that value (0.97816), your BUY LIMIT will likely be executed on the subsequent tick’s value (which on this case was 0.98044).
Concerning restrict orders… the benefit of utilizing restrict orders is that these are executed sooner, and the prospect of getting one of the best value (0.97816) are larger. But, the probabilities will not be 100%, and your restrict order nonetheless may’ve been executed with a destructive slippage of ~221 factors.
Right here is how a BUY LIMIT order executed on USDCHF on 2022.07.14 00:03 on the first value (0.97816) appears in logs (on MT4, AUD account):
Right here is how the identical BUY LIMIT order executed on USDCHF on 2022.07.14 00:03 on the second obtainable value (0.98044) appears in logs (on MT4, USD account):
Right here is how a BUY LIMIT order executed on USDCHF on 2022.07.14 00:03 on the first value (0.97816, 7 factors of constructive slippage) appears on chart and on backtesting (the screenshot is taken from a backtest on MT5 however the identical would’ve been on a dwell account):
You possibly can see that the TP is above the order open value because it ought to all the time be when the place has simply been opened. You may as well see that the unfold is big (481 factors). The unfold is much less related, nevertheless it exhibits a much bigger likelihood of an enormous destructive slippage to happen. Additionally, you possibly can deduce the truth that backtests will all the time fill the order on the first tick, and due to this fact you may most likely by no means get destructive slippage when restrict orders are triggered on backtests. You possibly can simulate ping and slippage when backtesting on MT5, however needless to say restrict orders are stored on the dealer’s servers and due to this fact are executed nearly immediately. That is why the “delay” possibility in MT5 backtests would not have an effect on the restrict orders.
Right here is how a BUY LIMIT order executed on USDCHF on 2022.07.14 00:03 on the second value (0.98044, 221 factors of destructive slippage) appears on chart (the screenshot is taken from a dwell account, MT5):
You possibly can see that the TP is already beneath the order open value, and that is brought on by the slippage. At first I believed (and others may’ve thought) that that is because of the “trailing TP” performance. However that is unattainable, needless to say in case of BUY orders, the TP nonetheless must be above the value to be trailed (it could possibly’t be technically finished, you may get an error, that is until you bought large destructive slippage). The order will not even be accepted if the primary TP worth is beneath the open value. The truth that the open value was above the TP exhibits that the order was executed with an enormous destructive slippage.
Beginning with 1.2 model of Rollover Scalper EA, the “trailing TP” performance will use the earlier closed M15 bar (in contrast to the 1.0 and 1.1 variations which use the present M15 bar) to calculate the Shifting Common worth. Which means that the EA will modify the TP every quarter-hour solely (in contrast to 1.0 and 1.1 variations which modify it every 5 minutes), and won’t change it for instance between 00:02 and 00:14:59, irrespective of how massive the unfold will get.
Why preserve the TP at a destructive TP worth if the order opened at a worse value than anticipated? Why not place the TP increased, to nonetheless have a constructive TP?
My EA (Rollover Scalper EA) and in addition another evening scalpers use by default a Shifting Common to path the TP. Which means that, no matter the place the place has been opened, the TP is on the identical degree. This is sensible and is an efficient follow from the likelihood standpoint, as a result of the value tends to reverse to a imply worth and it doesn’t care about the place your place has been opened. That explains why the BUY LIMIT orders which activated at 0.97816 had a constructive TP (the TP was above the opening value), whereas the BUY LIMIT orders activated at 0.98044 had opened with a destructive TP (the TP was already beneath the opening value). Altering the TP on this case (simply to attempt to nonetheless get a constructive revenue) could be much like making an attempt to affect the market to maneuver in your required route. The market would not care about what value you need it to go to. It is going to most frequently go to its common value, and if it is beneath your opened value then it is higher to simply accept a loss than threat to get a full cease loss.
Make no mistake, the EA won’t ever ship an order which may have destructive TP from the beginning. It could’t even do it technically, it might get an error, nevertheless it will not do it anyhow as a result of it is coded to ship orders with constructive TP solely. Nonetheless, as within the case of USDCHF order, the order will typically be executed at a worse value, and on this case you may have a destructive TP from the beginning. That is the case I discussed, the case when it is higher to simply accept a loss (by having a destructive TP) than threat getting the SL hit.
Cannot the slippage be managed?
It could on some brokers, however on others it could possibly’t. Although Metatrader has a “slippage” (additionally known as “deviation”) parameter which ought to restrict the slippage, and also you’d anticipate to haven’t any place opened with a much bigger destructive slippage than the indicated one, some brokers will ignore it. Most ECN brokers (resembling IC Markets) ignore it, they do not have a slippage management (IC Markets has an exception for cTrader accounts, these do have a slippage management). I do not know the rationale for that, however I suppose there are technical causes. Perhaps that is finished to enhance the execution velocity, with the disadvantage that they cannot cancel your order if the slippage is simply too massive.
So, the reply is sure and no. On some brokers you possibly can absolutely management the utmost slippage (on this case you may have to make use of digital TP as an alternative of the usual actual TP), on others you possibly can’t it doesn’t matter what you do. Which sort of dealer is healthier? I do not know. I typically get constructive slippage on IC Markets too. Additionally, talking of the identical USDCHF commerce from 2022.07.14 00:03, I had about 10 totally different accounts which opened then the identical USDCHF place on IC Markets, and solely 2 of them bought a destructive slippage of about ~221 factors. Which means that probably the most of them had the USDCHF order executed on the 1st value. And in any case, such destructive unfold would not happen too typically, not less than for now.
What different options are there to reduce the destructive slippage?
1. There isn’t a massive slippage earlier than the rollover interval. Rollover Scalper EA permits you to set the time when to delete the pending restrict orders. You possibly can set it to shut them at rollover interval. This fashion you may keep away from opening positions through the rollover interval, and you may reduce the losses brought on by slippage. Maintain although in thoughts that this may solely scale back the destructive slippage when opening positions. In case you have positions opened earlier and these shut through the rollover interval, you continue to can get destructive slippage when the place is closed.
Additionally, needless to say by not opening positions through the rollover interval you additionally reduce the variety of trades, and due to this fact you reduce the potential complete revenue. I can not let you know which possibility is healthier, and doubtless nobody can let you know that as a result of nobody can predict the slippage. Effectively, sort of… some pairs have much less destructive slippage, and right here comes the 2nd resolution:
2. Commerce solely the pairs with the next liquidity (resembling EURUSD, GBPUSD), this manner the prospect to get destructive slippage is way decrease and in addition the potential destructive slippage is decrease too.
3. Keep away from buying and selling (or pause the EA) after information. Information may cause massive actions for a number of hours, however later it could possibly trigger even a decrease liquidity than standard. This may’ve been the case with USDCHF as a result of on 2022.07.13 there have been CPI information.
Is the slippage random or is it the dealer making an attempt to steal my cash?
Concerning the slippage randomness – sure and no. It is largely sure, and the instance with my ~10 accounts partially proves it. However, the larger the lot measurement you are utilizing the larger the doable destructive slippage. But, I am positive nobody can let you know at which lot measurement you may begin getting larger slippage. It depends upon market circumstances, market hours, the variety of members, and even your dealer’s {hardware} and software program.
Is it the dealer making an attempt to steal your cash? If the dealer is regulated, my guess is – no. Whether it is ECN, I feel it could possibly’t management your slippage anyhow. However these are solely my hypotheses, I can not inform for positive.
