Spread is the cost everyone quotes and slippage is the cost everyone pays. For eleven weeks I logged both on every fill, and the gap between them is larger than the edge most of my setups claim.

What the log actually said

• Median spread on the majors sat where the broker advertised it, inside the session.

• Slippage tripled in the ninety seconds after a scheduled release, on the same instruments.

• The worst fills were not the fastest markets. They were the thin ones nobody was watching.

The conclusion was not to stop trading the news. It was to stop pretending a stop order is a price rather than a request.

A stop is a request. Treat the fill as the number, and the plan starts costing what it actually costs.

Since then I size around the fill I expect rather than the one I want, and the drawdown curve looks like a different account.