Price improvement – eliminating negative slippage

Today we’re going to talk about price improvements or positive slippage. We’re all very well aware of negative slippage, but too often as a client we’re not benefitting from price improvements. On LMAX Exchange, or indeed on any central limited order book, it’s natural if you fire in a market order, that occasionally you’re going to miss that price, and get negative slippage, and other cases you get positive slippage. On LMAX Exchange last year, about 93% of market orders were filled at the price the client aimed for, 4.5% suffered from negative slippage and 2.5% benefited from price improvement. That shows a natural market bias where, the trend is your friend and clients in the market are generally moving in one direction, so unfortunately, there is always a bias towards negative slippage.