One Trade, 10 Enemies

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It may look like a simple trade being placed, but behind it there is an army of enemies waiting, ready to take away from your profit — point by point, silently, without you even realizing it:

  • the spread — charges you on every entry and exit
  • the commission — per lot, per direction
  • the swap — overnight interest, tripled on Wednesday
  • slippage — requested price ≠ executed price
  • requote — “the price has changed, try again”
  • latency — the journey of your order to the server and back
  • ping — the network distance between you and the broker
  • SL slippage — the stop becomes a market order and gets you filled at a worse price
  • the gap — price jumps over your SL/TP at the open or during news
  • stop/freeze level — doesn't let you place your SL/TP where you want

What else should be added to the list?

 
TP slippage - the resulting market order gets filled at a different price, even without gap/news. With a good broker, this price is usually better than requested, just like with SL it's usually worse than requested. We can optimize for this by preferring to close e.g. breakouts on dynamic TP than on trailing SL. For strategies with fixed SL/TP, it's a reason win rate matters. Luckily, to some extent this is reproducible even in real ticks backtests. In real execution, the slippage/overshoot may be larger such as due to larger lots and limited liquidity.
 

High frequency wholesale traders. They pick apart the large trades of banks and pension funds, and retail traders often end up being mere collateral damage.

In centralized exchange markets, you can see that happening in the order flow and potentially adjust.

In off-exchange/over-the-counter markets, you don't have access to the order book so it's even worse.

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