Implementation shortfall · execution decision
6M Slippage: Measure Cost and Gate Execution
A hypothetical 30-tick opportunity is worth $150 per 6M contract at decision prices. Four adverse entry ticks, six adverse exit ticks and $12 in explicit costs reduce the result to $88. The market view was directionally right; 41% of the planned gross path disappeared between decision and account statement.
Name the benchmark
Slippage Is Meaningless Without a Recorded Decision Price
For this guide, implementation shortfall is the adverse difference between a recorded benchmark at the time the order decision became actionable and the actual weighted-average fill, converted to dollars. For a buy, a higher fill is adverse. For a sell, a lower fill is adverse. The current unit and tick are maintained in the canonical 6M contract guide.
(buy fill - buy decision price) ÷ 0.00001 × $5 × contracts=Buy-side shortfall(sell decision price - sell fill) ÷ 0.00001 × $5 × contracts=Sell-side shortfallPrice shortfall
Spread, delay and impact can overlap
A decision-midpoint-to-fill measure can already include paying the spread, quote movement during routing and market impact. Decompose those mechanisms only when synchronized quote and order data support it; do not add the same cost twice.
Explicit cost
Fees are added separately
Commissions, exchange fees, routing charges and other account debits do not appear in the futures price. Add them to price shortfall for an all-in implementation measure.
If the market moves without a fill, the unexecuted opportunity may matter to strategy evaluation, but it is not realized P&L. Track non-fill and opportunity cost separately from the shortfall of completed trades.
Worked audit
The $88 Example Reconciles From Both Ends
Assume a long decision at 0.05540 and an intended decision-price exit at 0.05570. The buy fills at 0.05544 and the sell fills at 0.05564. One current Globex outright tick is 0.00001, worth $5 per standard 6M contract.
| Line | Price or formula | Ticks | Dollars |
|---|---|---|---|
| Decision-price entry | 0.05540 | — | — |
| Actual buy fill | 0.05544 | 4 adverse | $20 cost |
| Decision-price exit | 0.05570 | 30 favorable from decision entry | $150 gross path |
| Actual sell fill | 0.05564 | 6 adverse to exit benchmark | $30 cost |
| Realized price path | 0.05564 - 0.05544 | 20 favorable | $100 gross fill-to-fill |
| Explicit costs | Hypothetical round trip | — | $12 cost |
| Net result | $150 - $20 - $30 - $12 | — | $88 |
This example is arithmetic, not a measured 6M average. It establishes the ledger fields and two reconciliation paths: decision-path gross minus shortfall and fees, or actual fill-to-fill gross minus fees.
Evidence required
A Candle Cannot Explain an Execution
Bar data may show that a price traded somewhere during an interval, but it cannot reconstruct the order's place in the queue, the spread at decision time or which levels were consumed. A useful execution record needs synchronized data from the strategy, order-management system and market feed.
UTC timestamp, exact dated 6M contract, side, intended quantity, benchmark type and benchmark price.
Order type, limit or stop price, time in force, routing timestamps, modifications, cancels and rejects.
Every partial fill, price, quantity, timestamp, weighted average and explicit fee.
Bid, ask, displayed sizes and preferably multiple depth levels at decision, submission and fill.
Scheduled event, market phase, holiday state, current/next contract and connection or feed health.
Clock source, time zone, synchronization quality and any known latency between strategy, broker and market data.
Before the order
Market Quality Must Pass Declared Gates, Not a Vague “Looks Liquid” Test
Thresholds depend on the strategy, quantity and loss budget. The process below does not prescribe universal numbers; it requires the plan to set them before the opportunity appears.
Reject when quotes, timestamps, connection health or contract mapping are stale or ambiguous.
Reject or switch to an event-specific plan when a scheduled release or policy decision falls inside the execution window.
Reduce when planned size is large relative to displayed and historically replenishing depth within the price tolerance.
Recalculate stop distance and cost stress when price changes faster than the plan's measurement interval.
Check whether liquidity has migrated to another month and whether termination or a broker cutoff is approaching.
Reject when expected execution cost consumes more of the trade budget than the written plan permits.
Order branch
Choose Which Risk to Accept: Price, Fill or Non-Fill
No order type removes execution risk. The choice changes which failure mode is more likely and must match the reason for entering or exiting.
Marketable order
Accepts: uncertain price within available liquidity. Use only when: immediate execution matters more than price control and worst-case depth passes. Reject when: spread or depth breaches tolerance.
Limit order
Accepts: partial fill or no fill. Use only when: price control matters and the strategy can tolerate missing the trade. Reject when: chasing would destroy the original decision benchmark.
Stop-triggered order
Accepts: gap and trigger risk. A stop-market prioritizes execution after trigger; a stop-limit adds price control but may not fill. Reject when: neither branch fits the loss or non-fill tolerance.
A planned entry, a routine profit-taking exit and an emergency risk exit solve different problems. Document the order hierarchy and who may override it. “Never use market orders” and “always use market orders” are both incomplete rules.
When the book changes character
Four Conditions That Require a New Execution Decision
Scheduled information
Banxico, Federal Reserve and major economic releases can move the decision price before an order reaches the book. Use official calendars and a defined event buffer.
Unscheduled shock
Political, fiscal, trade or global-risk news can create fast cancellation and repricing. Historical average spread is not a usable live quote.
Roll migration
Displayed depth may move from the expiring month to a later contract. Compare both and record basis rather than forcing execution in a stale lead symbol.
Session edge
The daily break, reopen and holiday modifications can alter participation. Nearly 23-hour access does not establish constant executable quality.
These are plausible market-structure mechanisms, not reported findings about average 6M slippage. A strategy-specific study must define sample, contract construction, clocks, quote data, order assumptions and out-of-sample acceptance limits.
After the fill
Diagnose the Cost Without Rewriting the Decision Price
The benchmark is committed at decision time. Moving it after seeing the fill hides delay and selection effects. Review each leg, then aggregate by comparable states.
Reconcile quantity
Match intended, submitted, filled, cancelled and remaining quantities. Account for partial fills and unintended duplicate orders.
Reconcile price
Compute direction-correct shortfall against the original benchmark, weighted-average fill and exact $5 outright tick.
Attribute cautiously
Use synchronized depth and timestamps to separate spread, delay and impact only to the extent the data support.
Compare states
Tag event proximity, session, contract month, spread, depth, order type, size and data health. Do not average incompatible states into one comforting number.
Final execution card
Go, Reduce, Wait or Reject
The output is an operational state, not a prediction that the trade will make money.
Go
All gates pass
Data are fresh, exact contract is correct, spread and depth pass, event state is allowed, and stressed all-in cost fits the risk budget.
Reduce
Smaller size passes
Market quality supports fewer contracts than the original plan. Recalculate risk and fees; do not assume linear fills.
Wait
Temporary state fails
A spread spike, shallow depth, pending release or roll transition may resolve. Set a new observation condition instead of chasing.
Reject
Evidence or cost fails
Contract mapping, data integrity, loss tolerance or order behavior is unacceptable. Record the no-trade decision.
Sources, methods and editorial disclosure — reviewed August 13, 2026
- CME Rulebook Chapter 256: Mexican Peso/U.S. Dollar futures for the 500,000 MXN unit and 0.00001 Globex minimum increment used in the examples.
- CME FX Product Guide 2026 for current 6M outright, spread and ClearPort increment distinctions.
- CME Mexican Peso futures quotes and product chain for the live dated-contract context; delayed or indicative web data are not a substitute for an execution feed.
- CME holiday and trading hours for schedule exceptions that can affect an execution window.
- CFTC futures glossary for market-order, limit-order, minimum-tick, open-interest and market-microstructure definitions.
Sources and contract inputs were reviewed August 13, 2026. The 30-tick path, 4-tick entry shortfall, 6-tick exit shortfall and $12 fee are hypothetical and exist only to demonstrate reconciliation. The page reports no original 6M slippage distribution, liquidity ranking, event estimate or profitability result. Market-quality thresholds must be defined and validated for the user's data, quantity and strategy.