Keep after worst-case slippage

Hi Matthew,

I wanted to ask if you could reconsider using the “keep after worst-case slippage” indicator as part of the criteria for the “Best systems” list. I believe Kauai is not listed under “Best systems” because of this “keep after worst-case slippage” indicator.

Although I clearly see the value of this indicator for a system that issues only market orders, I think the indicator is ambiguous at best for systems using limit orders. For the latter class of systems (including Kauai) a fill is either realized at the limit price, or not. If all trades are filled at the limit price without any problems, and the system shows good performance, the vendor should not be punished by a low score on an indicator that refers entirely to a hypothetical scenario (i.e. in which fills would not be realized at the limit price, and the subscriber would change the limit to a market order).

Thus, the “Keep after worst-case slippage” provides valuable information for some systems, but for others it doesn’t. Therefore, I would argue it should not be used to prevent systems from appearing in the “Best systems” list.

I would agree that it shouldn’t be used for best systems although I think it counts more for limit orders than for market orders because of filled if touched vs. the auto market fill that C2 does to keep subs in sync. But I also argue that the keep after slippage isn’t right because my fills on C2 if placed at say 1285 but my subs get filled at 1286, then it shows 1286, not the limit I put in, so if it is already showing real fill prices, how can I get punished again for keep after slippage, it already shows what the real slippage was for the trade given a REAL account.


I think things should never be changed because a vendor thinks it reflects negatively on their system. Others have asked for similar things.

Such requests should ALWAYS be refused, for the sake of the integrity of this site.


Not because it reflects negatively, but because it hits twice against systems. I’ve asked Matthew about this, but have yet to get a response that makes sense, at least to me. If the “hypothetical fills” show actual subs fills, then doesn’t that count for slippage? Why penalize a system twice for the same thing.