Trade journaling · Intermediate

Tracking Slippage And Execution Quality

Log the price you intended beside the price you got. Over a few hundred trades it tells you how much of your edge actually arrives.

Last reviewed 15 September 2026 by the MarketPro research desk · Editorial policy

In short

Record the intended price and the actual fill on both the entry and the exit of every trade. The difference is slippage. Convert it to R by dividing by your average stop distance, add the spread, and subtract the total from your measured expectancy. In one 200-trade sample the combined drag came to 0.109R per trade against a gross edge of 0.30R.

What to remember

Cost lands on the entry and the stop, the two orders that must fill regardless of price. Limit targets fill at your price or better.
Convert slippage to R by dividing by your average stop distance, then subtract it from expectancy before judging a setup.
A 1.2 pip spread is a rounding error against a 60 pip average result and a fifth of it at 6 pips.
Slippage grows with size, so an edge measured at 0.1 lots says little about the same method at 1.0 lots.

Lesson 12 of 14 in Trade journaling and review

PreviousJournaling Pre-Trade Checklists NextUsing Journal Data To Refine Position Sizing

Slippage is the gap between the price you clicked and the price you got

Log two extra numbers on every trade: the price you intended and the price you were filled at. The difference is slippage, and tracked across a few hundred trades it tells you what share of your measured edge actually reaches the account. It is the most consistently underestimated cost in retail trading, because it never appears on a chart.

A market order guarantees execution but not price. A limit order guarantees price but not execution. Slippage is what you pay for the first of those, and unfilled orders are what you pay for the second, which is why both have to be logged or the comparison between them is incomplete.

Four columns, 200 trades, and a third of the edge

Intended entry, actual entry, intended exit, actual exit. Two hundred trades on a method with a 20 pip average stop.

Where	Average slippage	Cost in R
Entry fills	0.4 pips against	0.020R
Stop-loss fills	1.3 pips against	0.065R
Target fills	0.0 pips	0.000R
Spread, round trip	1.2 pips	0.060R

Stops hit on about 45% of trades, so the stop figure contributes roughly 0.029R per trade averaged across all of them. Entry slippage and spread apply to every trade. Total drag is about 0.109R per trade, or 21.8R across the two hundred. Against a gross expectancy of +0.30R per trade, that is 36% of the edge, and none of it appeared in the strategy's backtest.

A target is a limit order, so it fills at your price or better and never worse, which is why its row sits at zero. That asymmetry is the whole story: cost accumulates on the entry and the stop, the two orders that have to fill regardless of price.

Stops slip further than entries, and news is where it happens

The 1.3 pip average on stops hides a distribution. Most stop fills slip almost nothing and a handful slip 8 or 12 pips, and the handful are usually the same situations: a data release, a session open, a thin instrument, or a gap over a weekend.

Break the column down by condition and the shape becomes obvious. One word beside each fill, calm, fast, news or gap, is enough to separate the ordinary cost of doing business from the rare expensive ones, and the rare ones are addressable in a way the ordinary cost is not. If four fills a year cost 30 pips each because you held through a scheduled release, that is a rule about not holding through them, not a complaint about your broker. The pip calculator converts each of those fills into account currency so the comparison happens in money rather than pips.

10 more sections in MarketPro

Market or limit: what your own log says

Limit entries remove entry slippage and add a different cost, the trades that never filled at all. Those missed trades have to be logged too, because a limit strategy that skips the fastest moves is not the same strategy as the market-order version even when its filled trades look better on paper.

Log the unfilled orders with the price that was missed and what the trade would have done. Without them, limit orders always look superior.
Compare like with like. Same setup, same instrument, same session. Slippage on a major pair in London says nothing about an exotic at the Tokyo open.
Separate broker effects from market effects. Persistent one-sided slippage on ordinary fills in calm conditions is worth raising with support. Slippage on a news spike is just the market.

Why a backtest never shows you this

A backtest fills at the price printed on the candle. It has no queue, no spread widening, no requote and no gap handling beyond whatever the data happens to contain. That is why the drop from tested results to live ones is so routine, and it is also why a method with a small per-trade edge is fragile in a way a larger-edge method is not.

The arithmetic is unforgiving at short targets. A method averaging 6 pips of profit per trade hands a third of it to a 1.2 pip spread plus a pip of slippage. The same absolute costs against a 60 pip average are close to irrelevant. Scalping is not harder because the entries are harder, it is harder because the cost base is a far larger share of the result, which is also why rebates and commission structure matter so much more at that end of the scale.

Two fields to add tomorrow

Intended price and actual price, on both ends of the trade. Everything above comes out of those four numbers plus a one-word condition tag.

Compute the drag in R rather than pips, by dividing slippage by your average stop distance. Pips are not comparable across instruments, R is.
Recompute expectancy net of it and use the net figure whenever you decide whether a setup is worth keeping.
Check it again before scaling up. Slippage tends to grow with size, so an edge measured at 0.1 lots is not a claim about 1.0 lots on the same instrument.

That last point is where this matters most. The decision to trade larger is normally taken from a record that never measured execution at all, and the costs that were a rounding error at small size are the first ones to arrive when the size goes up.

Finish this lesson in MarketPro

The rest of Tracking Slippage And Execution Quality, a quiz that checks it landed, and your place kept in the curriculum.

10 more sections of this lesson
All 320 lessons, with no cap and no paywall
Free on any account, including a free one

In your browserContinue on webor continue on web

Same account as the app · No install · Free to start

Or scan with your phone camera to get the MarketPro app.

Download on theApp Store Get it onGoogle Play

Free account, no card needed.

Not investment advice. Past performance is not indicative of future results.

Run the numbers while this is fresh

Work it through on your own position size. Nothing leaves your browser and there is no sign-up: Drawdown calculator, Risk of ruin calculator.

Written and reviewed by the MarketPro research desk

MarketPro is a trading-signal and trading-education app operated by Harajuku Holdings LTD (Cyprus). Our signal desk publishes and tracks every trade idea in-app, and every page here is checked against the app's live behaviour before publishing. Last reviewed 15 September 2026. How we produce signals and content · About MarketPro

FAQ

Tracking Slippage And Execution Quality: questions

How do you measure slippage in a trading journal?

Add four columns: intended entry, actual entry, intended exit, actual exit. The difference on each end is slippage in pips. Divide by your average stop distance to express it in R, which makes it comparable across instruments and directly subtractable from your expectancy figure.

Why do stop losses slip more than entries?

Because a stop becomes a market order the moment it triggers, and the moments it triggers are disproportionately fast ones. A target is a limit order, so it fills at your price or better, or not at all. The asymmetry means cost piles up on the two orders that must fill regardless of price, the entry and the stop.

Does slippage get worse with bigger position sizes?

Usually yes, because a larger order consumes more of the liquidity available at each price level. That is why an edge measured at small size says little about the same method at ten times the size, and why execution quality should be re-measured after any significant increase rather than assumed to be unchanged.

Trade · Learn · Earn

The whole academy is free in MarketPro

All 320 lessons, 12 guided paths, quizzes and a daily streak. Free on every account, in the app or your browser, with vetted free signals alongside it.

In your browserContinue on webor continue on web Download on theApp Store Get it onGoogle Play

Same account as the app · No install · Free to start

Not investment advice. Past performance is not indicative of future results.