Thanks. Personally I don’t see how you could tolerate such large negative slippages ! I wouldn’t accept that… If the slippage were lot size related, related to thin inside tier liquidity, I would use multiple orders at smaller lot sizes to bring slippages to within 1 pip. Unless you are chasing fast markets or something like that, in which case that’s just not something I would do. If slippages we’re that high, I would be using limits and cancelling unfilled ones… wow. Thx for the info.
EDIT: I think I see what you are doing during News Events. You are chasing price during those events; which is the worst case scenario. It’s no surprise that there are issues with fills or rejections by liquidity providers, due to latencies, if not for the other reasons, like Bid/Ask spread, etc. I don’t experience issues like that because I don’t try to enter positions, chasing a fast moving price. I prefer to get into positions ahead of News Events, or to use Limit Orders to protect against negative slippage. So, to me, it seems that is why you are so critical of FinProTrading, for example, which otherwise provides accurate fills with very little slippage. It is very difficult to get “instantaneous” latencies or reaction times, due to the “slow retail” nature of MT4. I mean, it isn’t a FIX connection with direct access to liquidity providers. During non-news-event periods, latencies in reaction times of 100 milliseconds doesn’t make much difference. But during high volatility News Events, 100 msecs can be 10 PIPs in market movement; hence the appearance of “slippage” from the moment your system makes the decision to strike. It makes perfect sense to me. Now, if you’re getting no rejections from the system during high volatility, then that means you’re dealing “locally” with the broker, operating somewhat as an old-style Market Maker. If your orders are being sent to external liquidity providers, then they may have the option to reject the pricing which is being presented to them, due to latencies of a couple of hundred milliseconds. The key is trading during very high volatility with wide spreads, I’d say.
This is no criticism of what you’re doing, or the strategy of chasing during high volatility periods. It’s just me trying to understand how a 10 PIP slippage could happen at a brokerage as good as FinProTrading… I see their Bid/Ask spreads widen, especially in the secondary Pairs, and don’t like it; but it represents what the LP’s feel is a much higher uncertainty during volatility…
EDIT2: Just wondering, are you using Buy Stops or Sell Stops to trigger your entries? In those cases, they should be faster than placing a new Market Order from the client side, as Buy/Sell Stops should be triggered on the server… (not sure about that in every case…)