# Slippage

Hi Mathew,

We are trying to understand your worst-case slippage stat. Is this the worst case slippage you could recieve from the order being placed between C2 and the broker due to a delay, or is it the slippage you could receive in the Forex market?

Cheers

Steve

I was about to ask the same question Steve, but let’s see what our friend and business partner Matthew has to say about that.

Yes, because this stat is really confusing us.

Keep After Worst Case Slippage -

It’s designed to measure the sensitivity of the system to slippage, assuming it occurs. It’s not intended to show the likelihood of slippage.

This is useful in some cases since AutoTrading can sometimes convert limit orders into market orders when a limit price is not market-clearing (i.e. when not everyone gets the lucky limit fill price, but some people in the group do). So this measurement tells you the magnitude of the effects of slippage… should it occur.

It’s also a back-door way to measure the size of profits on a per contract/share basis.

Basically, it is the ratio of: the size of the bid/ask spread of the instrument typically traded versus the typical profit (or loss) per trade. The measurement is calculated on a trade-by-trade basis, and then weighted according to P/L magnitude of that trade.

To put it in more concrete terms:

Imagine a system that trades a thinly-traded futures contract with a bid/ask spread of \$1.00 between the bid and ask. Imagine that on average this system earns \$2.00 per contract per trade as profit. The “Keep After Worst Case” would be 50%.

Something like that.

The usual caveat applies: Don’t freak out or get bent out of shape over one single statistic or measurement. (Not saying you did – but I know system creators sometimes get sensitive about the way stats are compiled). Remember: It’s just one stat among many. It’s one single data point which may or may not be helpful to people evaluating systems, and it may or may not apply to all systems with equal validity.

Thanks for that. I think your last comment “and it may or may not apply to all systems with equal validity” is true.

For our systems which are Forex systems the spread is already factored into the P/L for each trade on C2. So if there is no slippage on top of the spread when we go to market then the “Keep After Worst Case” should be 100%.

Both of our systems at the moment only take 5-6 mini contracts at a time. The chances of getting slipped on these small contracts would be extremely rare and almost non-existent, even in periods of extreme volatility. But I also understand it is a stat to cater for all systems on C2, not just Forex.

Thanks again for getting back to us, we wont freak out over it as I don’t think it would be one of the major deciding factors for subscribers.

Cheers Steve