Slippage during CPI: second-by-second fill log analysis

[LondonScalper]

CPI week reminder: the chart can look tradable while the fill tape is garbage.

I log CPI windows separately:
• Requested price vs fill
• Spread at send / at fill
• Side, size, pair
• Seconds relative to the release (T−60 … T+180)

What I usually find
• Average slippage lies; p95 is the number that murders the week
• First impulse after the print is often a tax, not an edge
• “A+ level” without a spread gate is not A+ during the window

My default
Hard blackout into the release; resume only after spreads normalize and M15 is readable again. If I take anything post-print, size is down and it’s pre-written — not invented because the first M1 candle looked clean.

If you log CPI fills: what’s your worst p95 pair (XAU vs majors), and do you still trade the first 5 minutes?

Desk/process notes — not trade calls.

[Fairman]

Spread and Slippage: The Silent Scalping Killer


Scalpers obsess over entry precision and pattern recognition, and then quietly bleed out on costs that have nothing to do with their analysis being wrong. Spread and slippage are the most underrated variable in whether a scalping strategy is actually profitable once it leaves the backtest.


Why This Matters More for Scalpers Than Anyone Else


A swing trader targeting 200+ pips barely notices a 1.5-pip spread. A scalper targeting 15–20 pips per trade is giving up 7–10% of their target to the spread alone before the trade even moves in their favor. Multiply that across dozens of trades a week, and spread costs alone can be the difference between a strategy with a genuine edge and one that only looks profitable until you actually trade it live.


Spread Isn't Fixed — It's Conditional


Spreads widen during low-liquidity periods (late NY session, pre-Asian open) and around news releases, sometimes dramatically. A pair that normally runs a 0.8-pip spread can widen to 4–5 pips in the seconds around a major release. If your backtest used average or static spread assumptions, it's quietly overstating your edge during exactly the volatile conditions scalpers are drawn to trade.


Slippage: The Cousin Nobody Backtests For


Slippage — the gap between your intended entry/exit price and your actual fill — tends to show up specifically during fast-moving conditions, which is disproportionately when scalpers are trying to enter. A backtest that assumes perfect fills at your signal price is testing a strategy that doesn't exist in live execution.


What to Actually Do About It


Check your broker's typical spread by session, not just the marketed "as low as" figure — trade during the windows where your specific pairs run tight, consistent spreads.

Build spread cost directly into your risk-to-reward math, not as an afterthought. If your average spread eats 3 pips and your stop is 15 pips, your real risk is 18, not 15.

Avoid entering directly into major news releases where spread widening is most extreme (see the earlier post on scalping news spikes).

Test your strategy with realistic — not optimistic — cost assumptions, or better yet, forward-test on a demo with your actual broker and conditions before trusting a backtest's raw numbers.

Ignoring this is one of the most common reasons a strategy that looks great on paper quietly loses money once real execution costs enter the picture.

[LondonScalper]

Scalpers obsess over entry precision and pattern recognition, and then quietly bleed out on costs that have nothing to do with their analysis being wrong. Spread and slippage are the most underrated variable in whether a scalping strategy is actually profitable.

Exactly — the fill log is the audit trail most people skip.

I keep a simple CPI / high-impact sheet: planned entry, requested price, fill price, spread at click, and seconds from release. After a few prints you stop arguing with the chart and start arguing with execution reality. A clean M1 signal that fills four points worse is not a “strategy loss”; it is a cost that should have blocked the ticket.

Desk rule for CPI: either flat into the print, or a pre-written reaction plan with half size and a hard time stop. I do not “fade the first spike” unless the fill log from prior releases says that path survives costs. Second-by-second notes sound pedantic until you see how often the edge died between intent and confirmation.

If the strategy only works on perfect fills, it does not work. Costs are part of the edge definition, not an afterthought.