Slippage in your favour gets ignored way too often

[Amanhasnoname]

Everyone remembers the nasty negative slippage. Almost nobody remembers the fill that came a half pip better than expected, and that selective memory distorts how a broker gets judged.

A fair test needs both sides. Pull the last 200 or 300 market orders, compare the requested price to the executed price, and sort the differences into positive and negative buckets. Then check the size, not just the count.

What a healthy result looks like is debatable, but the shape matters. Roughly symmetric distributions suggest honest pass-through of liquidity. A heavy negative skew, where bad slips are both more frequent and larger, deserves a closer look. Some brokers cap positive slippage to zero while letting negative slippage run, and that policy is sometimes buried in the execution policy PDF.

One more wrinkle: slippage tends to be worse on stop entries than on market orders placed in calm conditions, so mixing both order types in one sample muddies the picture.

Anyone here done this test properly, and what did the skew actually look like on a live account?