Slippage - The dirty business?

Hi, by a 3 weeks demo trading test of my strategy, I found the slippage of FXCM is way too high:

And I tried to simulate this high slippage in my backtest by increasing the Slippage value (default value is 5 seconds), and get the result:

This measn what ever Slippage value I set, I can not simulate minus Avg trade slippage. And even if I delay 60 seconds, the absolute value of is 1.8, which is less than 1.96.
So what is going on? Is FXCM using slippage as buffer to make Algo loose?

Maybe use pending trades.

Hi @danatrader, do you mean useing pending trades to simulate larger slippage?

To understand how P&L/slippage is calculated by Zorro with your way of entry, set TICKS and Verbose=3 and try to make sense of the 'entry price-slippage-commission-exit price' numbers for a particular trade.

You cannot simulate 6 pips slippage with a normal price curve. Even if you could, it would not make much sense. Better check what caused the extreme slippage. Maybe some sudden price jump at entering or exiting a trade. You should see that in the log.

Forex slippage is normally in the 0.1 pip area.

Thank you for your advice. I checked the log file, it is a very long list. But I can not find slippage inside. Is there a way to read/output slippage trade by trade?

Not directly. But if your trades are entered at bar boundaries, you can compare the entry price with the close of the current bar. There must be a large discrepancy somewhere. Otherwise you can use a TMF and print the difference of close price and entry or exit price to the log.