Broker cost audit: spread, slippage, commission and swap on a track record

Why costs decide whether a strategy transfers

An Expert Advisor does not have one result. It has a result per broker, per account type, per time of day. The same EA that makes money on a raw-spread ECN account with tight fills can lose money on a standard account with a two-pip spread, because its average winner was three pips. Before you copy a signal or buy a forex robot, you need to know how big the edge is compared with the costs it pays, and whether your broker's costs are similar.

ConfirmedTrades captures four costs. Two come from the live terminal (spread and slippage), two come from the trade history (commission and swap).

One thing to understand before reading the slippage numbers: slippage can only be measured where a price was set in advance. That means a pending order's entry (a buy or sell limit or stop) and an exit on stop loss or take profit. A plain market order has no set price to compare the fill against, so those trades are left out rather than estimated — an account that only ever trades at market will show little or no slippage, and that is an absence of data, not evidence of perfect fills. A positive number always means the fill was worse than the price that was set.

MetaTrader 4 adds a wrinkle: the terminal overwrites a pending order's level the instant it triggers, so entry slippage cannot be recovered from an MT4 history at all. Only the exit side (stop loss / take profit) is measurable on older MT4 records. Connector v1.84 and later record the level while the order is still live, so MT4 pending entries placed from that point on are measured exactly as they are on MT5. MetaTrader 5 keeps the originating order, so both sides work there.

Spread profile, in points

The connector samples the live spread of the symbols the account trades every few seconds and stores it as a histogram, both intraday and daily. The Execution panel shows it per symbol, in points rather than pips or currency. Points are the broker's smallest price increment for the instrument and the panel shows the digit count, so a 5-digit EURUSD quote of 12 points is 1.2 pips.

Points are used so that accounts of different sizes can be compared, and so that you can hold the figure against your own broker's quote. Things to look for: the typical spread at the hours the account actually trades, how much it widens at session opens and news, and whether the EA's average win is comfortably larger than that typical spread.

Slippage, open and close

Slippage is the gap between the price a trade asked for and the price it got. It is reported from the trade history: on MT5 for both the open and close of every deal, on MT4 for stop-loss and take-profit closes. It is shown in points, signed, so you can see whether fills tend to help or hurt.

Consistently negative slippage on closes, especially on take-profits, is a sign that the broker or the strategy's timing is costing the account money that a backtest would never show. Heavily positive slippage on a demo account is a sign of a demo server, and one more reason to be sceptical of demo-only results.

Commission and swap in the trade table

The trade history table can show a Comm. column and a Swap column when the owner exposes them. Commission is the per-lot fee a raw-spread broker charges instead of a wide spread; swap is the overnight financing charge or credit on positions held past the daily rollover.

Both are already included in the net profit used for gain, drawdown and the Score, so you do not need to subtract them again. What you want from the columns is proportion. If the swap column is a large negative number relative to the profits on a strategy that holds for days, the strategy is fighting its financing. If commission is a big fraction of the average winner, the strategy is thin.

Putting it together: the cost ratio

A simple, revealing exercise: take the average win in points for the most-traded symbol, and divide the typical round-trip cost (spread plus average absolute slippage on open and close, plus commission converted to points) by it. If costs are more than about a third of the average winner, small differences between the track record's broker and yours will decide whether you make money.

You can get the per-symbol figures from the Execution panel and, if the owner allows it, use Custom Analysis to isolate a single symbol and see its average win, average loss and expectancy on their own.

What to do with the answer

• Compare the spread profile with your own broker's quotes at the same hours. A demo account at your broker is fine for sampling spread.
• Check whether the account type matches what you would trade on. Raw-spread and standard accounts are different strategies in practice.
• Use the position size and pip value calculators to translate points into money at the lot sizes you would use.
• Assume your slippage will be at least as bad as the track record's, and usually worse.

Related reading

Costs are one leg of due diligence. Due diligence before buying a signal covers the rest, and spotting fake EA results deals with records that look good precisely because costs were never paid.