Types of slippage
Positive slippage: execution at a better price than requested. Occurs more often with ECN/STP execution during normal market conditions.
Negative slippage: execution at a worse price than requested. More common during news events, low liquidity, or with market-maker brokers.
Why it matters for EAs
Backtests typically assume zero or fixed slippage. Live trading has variable slippage. For scalping EAs where the profit target may be 5-10 pips, even 0.5 pips of average slippage can reduce net return by 5-10%.
How to measure live slippage
Compare the EA logged requested price vs actual execution price over 100+ trades. Mean slippage below 0.5 pips is excellent. Above 1.5 pips is concerning for scalpers.