How would it be possible to calculate slippage in both directions?
Hopefully, there is something less costly than buying and selling .01 lots every second of the day because that is too expensive.
The purpose is to use slippage as a technical indicator and back-test that, so historical data on slippage would be great too…
You’re going to struggle to find any kind of direct data. Slippage is dependent on someone having an order in place (can’t have slippage if there wasn’t an order to be filled) and will vary by trading platform, depending on their price feed. Most trades in retail forex are filled at the order price because there’s loads of liquidity (at least for the majors and major crosses). Slippage will tend to be clustered around volatility events (news, data, etc.). As such, you could use very sharp moves in price in the very short time frames as a proxy. You can alternatively look at changes in the spread, as sharp widening in spreads is usually indicative of a volatility event and those big spread changes are often the cause of slippage.
I think if you look at FXCMs broker thread they show some info on slippage, Jason may be able to help as well