I am analysing the pending orders trigger and execution.
Some weeks ago I sent an email to the technical support due to the fact that I noted a pending order filled at a price that was never reached from the first level price.
The reply from technical support was that the order was triggered from a price not of the first level but from a price of another level, so the sell order was filled at a price two pips higher than its open price and after this the order went in a stoploss of five pips .
In the reply they said me that I had forgot the depth of the market that is a normal condition on a true ECN enviroment, there are many price levels over and under the reference price.

After some other test I am not very convinced of this execution way.
The filling of a pending order can be done in various way.

Way "a" , the way I suppose works in Dukascopy.
1 - I set a pending order with a slippage in pips.
2 - When the server find a price in the various price levels up or down the current first level price that satisfies the requested max slippage it open the order on the market.
3 - Result is that the slippage parameter set the precision of the opening price.

Way "b", the way I think should be.
1 - I set a pending order with a slippage in pips.
2 - When the first level price (the official price of the pair in that moment) cross or touch the order open price, the order is filled at the best price within the desired slippage.
3 - Result is that the slippage parameter set only the accepted tolerance on the open price after that the market price has reached it's open price.



I'm a newbie in Jforex, so ... what's wrong in my assumptions?

Slippage is not used to determine price range at which the order fill will be fired, i.e., called, it sets the price range at which the order fill will be executed in a case of market price change into a negative direction within period of fill call and fill execution. See:
https://www.dukascopy.com/wiki/index.php?title=Slippage
Consider the following example:

1. EUR/USD BID price is currently at 1.4000.
2. You make a SELL limit order with price condition BID>=1.4010 and slippage 20 (Note, if "a" was true then order would get filled immediately after the order submission since 1.4000 >= 1.4010 - 0.0020).
3. Assume that price reaches 1.4010 order fill condition is met and the fill request gets sent to the server.
4. Assume that when the server receives the order the best available price is 1.3991 - the order gets filled since the slippage 19 is less than 20. Now assume that when the server receives the order the best available price is 1.3989 - the order does not get filled since the slippage 21 is more than 20.

Yes, this should be true, my "b" case.

But this is what I've seen more than one time on demo platform (this is the email text I've sent to Dukascopy).



This was the reply of Dukascopy :