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.
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.
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