Slippage Distribution: ECN vs STP Execution Models
Does ECN execution deliver meaningfully better slippage outcomes than STP during high-impact news events? We tested 8 brokers across 12 major economic releases to find out.
0.21 pip
Near-symmetrical
0.38 pip
Slight negative bias
12
NFP, FOMC, ECB
12,400+
Across 8 brokers
Background
Slippage is inherent to any market order -- prices move between the moment of submission and execution. The critical question is whether slippage is symmetrical (equally likely to be positive or negative) or asymmetrical (biased against the trader).
Industry claims suggest that ECN execution provides fairer slippage distribution due to direct market access and anonymous order matching. STP execution, while automated, routes through the broker which could introduce asymmetry through spread markup timing or last-look practices.
Slippage symmetry analysis
We categorized every fill into three buckets: positive slippage (price improvement), zero slippage (exact fill), and negative slippage (adverse fill). A perfectly fair execution model would show near 50/50 distribution between positive and negative slippage after removing zero-slippage fills.
31.2%
ECN brokers
24.1%
STP brokers
35.6%
ECN brokers
40.2%
STP brokers
33.2%
ECN brokers
35.7%
STP brokers
Average Negative Slippage by Event (pips)
Behavior during news events
The difference between ECN and STP execution becomes most pronounced during high-impact news events. During NFP releases, ECN brokers showed 40% less negative slippage than STP brokers, though both models experienced increased total slippage magnitude.
Key finding: Last-look window correlation
Two STP brokers showed a statistically significant increase in reject rates (from 1.2% to 4.8%) during the 500ms window around NFP release, suggesting active last-look practices during volatile conditions. Both brokers claimed"no dealing desk" execution.
Conclusions
- ECN execution shows better symmetry -- Positive-to-negative slippage ratio was 0.94:1 for ECN vs 0.68:1 for STP.
- The gap widens during volatility -- ECN advantage increases from ~7% to ~40% less negative slippage during news.
- Not all STP is equal -- Two STP brokers performed comparably to ECN, suggesting implementation quality matters more than model label.
- Last-look remains a concern -- Evidence of selective rejection during high-volatility windows undermines NDD claims.
This research paper follows the NoDealingDesk testing methodology. For more on slippage measurement, see Slippage metrics.