Measuring Execution Quality: A Short List of Tests

[Fairman]

Measuring Execution Quality: A Short List of Tests

Marketing pages talk about fast execution. You can measure it yourself with a few simple tests.

First, speed. Many platforms show the time between sending an order and receiving a confirmation. Record it for twenty or thirty orders at different times. Look at the median and the worst values.

Second, slippage, as covered earlier. Log the requested versus filled price, in both directions, for market orders and stop exits.

Third, rejection and requote rates. Count how often orders are rejected, requoted, or delayed. Frequent problems during normal conditions are a warning.

Fourth, spread behavior. Record spreads at set times: quiet hours, the London open, a news release, and rollover. Compare with advertised averages.

Fifth, stop and limit order fills. Check whether limit orders fill when price touches the level, or only when it trades through, and compare with other feeds. Check for unexpected stop-outs during spread spikes.

Sixth, consistency between platforms. Compare the broker's quotes with an independent price source during the same moments.

Run the tests on a small live account, since demo execution often differs.

Document results with screenshots and timestamps. If conditions are poor, you have evidence for a complaint or a reason to switch.

Repeat the tests every few months, since execution can change.

Practical step: log twenty market orders with request time, fill time, and slippage, and compute the average.

[Fairman]

Doing this on a small live account matters. Demo execution can be very different, and that's sometimes on purpose. Demo servers often fill every order instantly at the quoted price with no slippage, which makes strategies look better than they are. A live account at minimum size gives you the real picture for the cost of a few spreads. Run the tests over a couple of weeks and at the times you actually trade. For most of us that means the London open, the New York data window and maybe the evening. Execution that looks fine at 10am can be very different at 1:30pm when US numbers come out.

[Fairman]

Worst values are more useful than averages here. A broker can have fine average execution and still hit you with terrible fills during news. If ninety percent of your orders fill within a pip but the stop outs during releases slip by ten or fifteen pips, the average looks fine while the real damage happens on exactly the trades that matter. I'd record the worst three fills each month and compare them with another broker or a second data source. If they line up with normal market chaos, fine. If the other feed shows price never got that far, that's a pattern worth raising with the broker.