Dukascopy, I was wondering whether you have any statistics on slippage, like this FXCM page.

Personally, after hundreds of trades, I don't think Dukascopy
has any slippage.

What people call "slippage" is Buying into a Rising Market
or Selling into a Falling Market. In both cases, there's no
"slippage" in the trade; it's just that the Market is
running away with the "chase".

If Buying into a Falling market, or Selling into a Rising market
then of course "slippage" acts in the Trader's favor, and a
better price is often given.

HyperScalper

Thanks hyperscalper, do you keep records of your trades (quoted and filled prices)?

I always run a demo account and live account simultaneously, with the same strategies running on both. The demo account behaves as expected with regards to slip, but the live account seems to slip on average about 1 pip *more* against me than the demo account, even if the orders are tiny. I don't understand why this would be so. To me it seems like hidden commission, which is why I was wondering whether they have any published statistics.

What you observe is perfectly normal. DEMO gives a slightly "optimistic" simulated fill.

Depending upon whether the market is "running from you" or you are buying into a falling market,
you will see different results which are solely due to latencies between price, as you see it,
and the "real" price at the moment of order matching.

If you run your Strategies on a fast dedicated server, close to Dukascopy's servers, then you'll
obviously see less "slippage" as your "round trip" latencies will be much tighter. That's what I
do, but also I have other approaches to gaining "price advantage" as well...

I can assure you that Dukascopy (for all practical purposes) has NO SLIPPAGE. The fills are extremely
precise, regardless of Lot Size. What you see as "slippage" is merely "latency" and an interaction
with Buy/Sell versus Rising/Falling market. If you CHASE the price, you'll get Slippage, my friend.
I do precision micro-scalping, so I know exactly how good Dukascopy is at filling exactly at
my desired price. It's the best (of any retail brokerage I've ever seen).

One simple method is to use Limits (whether conditional or PLACE_XXX order types) which will
force the market to come to you. As most traders use Market orders, and they Chase a running
price, then they see what appears as "slippage".

HyperScalper

Sorry I didn't make this clear, but I'm not placing any orders directly to the market, only conditional orders to be triggered by Dukascopy servers, so it can't have anything to do with my round-trip time. I can understand why a STOP order will slip against me a little on average because of its asymmetry and the market not being entirely continuous, but I don't understand why a (small) STOP order on a Live account slips on average 0.9 pips more than the same STOP order on Demo. The only reason for such a difference that I can think of is if there isn't enough volume on that tick to fill my order, but that can't be the case because it happens even when the order is very small.

I'll try again soon enough - maybe I just had a long unlucky spell when I tried to start.

OK, well I never use Conditional Limit orders. Instead, I use ECN Limit orders.
So I don't know how the Conditionals respond; remember, they will submit Market orders when triggered.
I can only say for Limit ECN orders that there is very high precision and negligible slippage, as
these are already on the ECN and do not become Market orders.

STOP orders always become Market orders, and usually they are Market orders during unfavorable
conditions, as they may be "Chasing" the market to get OUT (or to get IN).... So these will result in slippage on
execution in a Live market, most likely. As for DEMO, well.... it's only DEMO, so the fills are
not "real". So, again, I'd suggest using BID/OFFER orders maybe to improve some things, if
applicable to your situation, but anything which is "conditional", and which requires the submission
of a Market order when the condition occurs, will suffer from the inaccuracies inherent in Market orders.

If you are so concerned about this small "slippage" of what you say may be 0.9 pips or so...
then it seems to me you are probably a "scalper". As a scalper you have to be concerned with
the order types which will give you better outcomes. More than order types, you could also
consider multiple entries into your positions, thus giving you a price advantage through averaging,
or maybe you've already considered those things. Scalping is a completely different universe
from ordinary trading as far as precision is concerned.

Even your estimates of "slippage" are affected by the latency between your client and the servers,
so the closer you can get in latency terms to the server, the better will be your estimates of what
slippage you get. Again, if you BUY into a falling market, Slippage is your Friend !! You'll get a
better price. It becomes "Reverse Slippage" and works in your favor. Most people don't think about that.

A Conditional STOP order is almost always working in Unfavorable conditions, as it is "chasing"
a market, using a Market order and so in a "real" fill scenario, the "micro market" has already
made it impossible for you to get a good price, and you are again chasing your way OUT, or chasing
your way IN if you're using Stop orders to get in..... either way.

HyperScalper