Slippage tolerance settings: what the deviation parameter does

[Amanhasnoname]

Most platforms have a setting that limits how far from the requested price an order may fill. In MetaTrader it's called deviation, or slippage in points.

On instant execution, it defines the range within which the broker will accept a fill instead of requoting. A tight value means more rejections. A loose value means more fills at worse prices.

On market execution, the field is often ignored, which surprises many people. Setting it to zero doesn't guarantee a price, and the broker fills at whatever is available.

The best value depends on strategy and conditions. For a scalper with a tight target, even one pip of tolerance is a lot. During calm hours, a small value works. During news, a wider one may be necessary to get filled at all, which tells something about whether to be trading then.

Logging the actual deviation of each fill against the setting shows how the broker behaves in practice.

What deviation value do you use, and how often do orders get rejected for exceeding it?