Limiting Slippage and Spike Risk in Moscow Exchange Expert Advisors
Summary
This article explains how discrete price changes, gaps, and thin liquidity can make stop and market orders execute far from their intended prices. It illustrates how a brief spike can trigger an entry and then a stop loss at unfavorable levels, producing losses much larger than the planned distance. The focus is technical protection for automated trading on exchange markets, rather than strategy design or money management.
The suggested controls include using limit orders to cap acceptable execution prices, stop-limit orders as a slippage-conscious alternative for protective exits, and liquidity checks based on order-book depth or spread conditions. It also describes checking trading logic once per bar and using complete-bar or one-minute OHLC testing modes to better reflect discrete historical prices. The article cautions that tester assumptions about price availability and liquidity can differ from live markets; its examples explain mechanisms but do not quantify how often the risks occur or demonstrate strategy profitability.
Key ideas
- Discrete price jumps can trigger stop orders at prices worse than their trigger levels.
- A stop loss may not cap losses when a spike causes adverse execution before the exit triggers.
- Limit orders constrain the worst acceptable execution price, though unfilled quantity can remain.
- Order-book depth and spread can be used to assess liquidity and potential slippage before trading.
- Bar-based EA logic and discrete-price testing modes are presented as ways to reduce spike exposure and improve simulation realism.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.