Why execution quality matters
Pricing is half the story. The other half is whether you actually get the price when you click. Good execution means high fill probability, minimal slippage, no games with re-quotes, and transparent routing to liquidity providers (LPs). Poor execution quietly taxes your strategy—especially for short hold times and high turnover.
Rule of thumb: If your average slippage + re-quote cost is even 0.2–0.4 pips worse than you expected, it can dwarf a “tight spread” on paper.
Key metrics (and healthy ranges)
| Metric | What it is | What’s healthy | Red flags |
|---|---|---|---|
| Fill ratio | Percent of orders executed at requested/better price. | > 95% on liquid majors outside news. | < 90% off-news; unexplained dips. |
| Positive/negative slippage | Executed – requested price (pips). | Symmetric, |mean| < 0.1–0.2 pips quiet hours. | Only negative slippage; big undisclosed tails. |
| Re-quotes | Broker rejects price and shows a new one. | Near-zero on market orders. | Frequent and asymmetric. |
| Partial fills | Only part of size executed. | Rare on majors up to 2–5 lots. | Chronic partials on tiny sizes. |
| Rejects/invalids | “Off quotes”, “trade context busy”, etc. | < 0.5% and tied to volatility/load. | Spikes with no incident report. |
| Time-to-fill | Latency click → confirmation. | < 150 ms to engine (retail, non-colo). | High jitter or multi-second stalls off-news. |
Last-look: what it is and why you should care
Last-look gives an LP a brief window to accept/reject a trade after you hit their quote. It protects against stale quotes but can be used to selectively reject unprofitable trades, inflating your real costs.
- Transparent: Hold times disclosed; rejection reasons logged; symmetric improvements passed on.
- Problematic: Hidden windows; asymmetric rejections; consistent negative slippage.
How LPs and routing affect your fills
- A-book (STP/ECN): Route flow to LPs—depends on LP diversity, last-look policies, smart routing.
- B-book (internalize): Broker makes prices—can be fine, but mind conflicts.
- Hybrid: Flow profiling; transparency matters.
Ask: How many tier-1 LPs? Do you use last-look? Hold times? Do you publish rejection reasons & monthly execution stats?
Re-quotes, invalid prices & partial fills
Re-quotes occur when price moves outside tolerance before your order hits the engine. Valid in fast markets—but chronic re-quotes at favorable prices are a red flag.
- Marketable limits should fill at limit or better; chronic worse results = investigate slippage settings/logs.
- Chronic partials on small sizes imply shallow LP depth or throttles.
- “Off quotes”/“trade context busy” often signal server saturation; check status/ping.
What the T&Cs often hide
- “Best efforts” execution with broad “abnormal conditions”.
- “No best execution duty” on OTC products—see “fair and reasonable.”
- Wide “abusive trading” clauses (latency/news/scalping) enabling re-pricing/cancellations.
- No symmetric slippage guarantee → costs exceed quoted spreads.
- Internalization at discretion without disclosure.
DIY tests you can run this week
- Ping & path: watch latency & jitter to trade server.
- Micro-lot probe: 100–200 tiny orders across sessions; log request, fill, slippage, TTF, status.
- Slippage symmetry: histogram over quiet periods; mean near zero; shape roughly symmetric.
- News control: repeat at scheduled releases; wider tails should be disclosed, not hidden rejects.
- Partial fill check: 1–3 lots on majors; chronic partials → LP depth issue.
Interpreting results (quick tree)
- Fill ≥ 95%, symmetric slip ≤ 0.2 pips, re-quotes ≈ 0: solid.
- Consistent negative slip: suspect last-look asymmetry/markup timing—ask for stats.
- Frequent re-quotes off-news: tolerance/server bottleneck—raise deviation or switch broker.
- Chronic partials ≤ 3 lots: LP depth/routing—ask LP roster & min quote sizes.
ECN / RAW vs Standard (execution angle)
- RAW/ECN: tight visible spreads + commission; quality hinges on LP mix & last-look.
- Standard: wider all-in; may mask real costs during moves.
- Pro tip: compare effective spread after slippage & commission on your logs.
Checklist to grill your broker
- Monthly execution stats by symbol/session?
- LP count/tier? Last-look? Hold times & acceptance criteria?
- Positive slippage passed through?
- Price tolerances & max slippage for marketable limits?
- Internalization policy & hybrid routing conditions?
- Status page/incident disclosures/maintenance windows?
Glossary (fast)
- Fill ratio: % executed vs rejected/expired.
- Slippage: Executed – requested (pips). Positive = improvement.
- Re-quote: Platform requests you accept a new price.
- Partial fill: Less than full size filled; remainder continues.
- Last-look: LP window to accept/reject after hit.
- LP: Bank/non-bank market maker or prime broker quoting two-sided prices.
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