6M Slippage Explained
Slippage on 6M (USD/MXN futures) is worse than almost any other FX future. Traders see their stop losses fill several ticks away from the intended price and don’t understand why the contract behaves this way. This article explains exactly why slippage is so common in 6M and how to avoid unnecessary losses when trading the Peso.
What Slippage Actually Is
Slippage is the difference between the price you expect to get and the price you actually receive. It happens when the market moves faster than the order book can fill your request or when there is not enough liquidity at the price you targeted.
In a thin or fast-moving market, slippage is not a “mistake” or a glitch—it's the direct result of how price jumps through empty levels in the order book.
Why 6M Has More Slippage Than Majors
There are four simple reasons:
- Thinner order book depth – fewer limit orders sitting at each price level.
- Larger contract size – USD/MXN is more volatile than EUR/USD or USD/JPY.
- Exotic-currency behavior – the Peso reacts violently to news and liquidity shifts.
- Frequent vacuum zones – areas where no resting orders exist to slow movement.
This combination causes the price to skip one or several ticks at once when pressure arrives. In majors like 6E or 6J, the book is thick enough to absorb most incoming orders. In 6M, it’s not.
1. Order Book Depth Is Extremely Thin
At any moment, 6M usually shows far fewer contracts waiting in the book compared to 6E. A thinner book means it takes less buying or selling pressure to wipe out the best bid or best ask and jump to the next level.
If the next level has fewer orders, price can jump again. This creates chains of micro-gaps that your entry or stop orders fall into.
Result: you get filled at a worse price than intended.
2. 6M Moves Quickly Even Without News
Because MXN is an emerging-market currency, it reacts faster than majors to:
- U.S. bond yield fluctuations
- risk-on and risk-off shifts
- oil price changes
- Banxico commentary
These reactions are often “jump-like” instead of smooth. When the price jumps, every pending stop order fills at the next available level, not the listed price.
3. Liquidity Vacuums Create Instant Gaps
A liquidity vacuum happens when price moves out of a heavy-liquidity zone and into a zone where few orders exist. In 6M, this happens constantly. USD/MXN can be stable for thirty seconds and then instantly stretch through ten ticks because the book above or below is empty.
If your stop loss is inside one of these vacant zones, you will be filled at the next available order—sometimes several ticks away.
4. News Events Multiply Slippage
6M reacts sharply to:
- U.S. CPI and NFP
- FOMC statements
- Banxico rate decisions
- unexpected political or risk developments
During these events, slippage can be extreme. A stop placed 20 ticks away might fill 100 ticks away if the Peso detonates from a surprise rate decision. This isn’t broker manipulation—it’s simply the market moving faster than the order book can process the flow.
How to Reduce Slippage in 6M
Slippage can’t be eliminated, but it can be reduced dramatically by following five rules.
1. Trade Only During Liquid Hours
The best hours for 6M are the first three hours of the U.S. session. Liquidity is highest, the book is thickest, and algos are active. Off-hours trading increases slippage dramatically.
2. Avoid Market Orders in Weak Liquidity
Market orders guarantee a fill but never guarantee the price. If you use them during thin conditions, you will pay more or receive less than expected. Use limit orders wherever possible.
3. Avoid Tight Stops
Stops placed extremely close to price will often be hit in noise, and when they trigger, you may get terrible slippage because the stop converts into a market order.
Use stops that reflect realistic Peso volatility, not stops based on what feels comfortable.
4. Never Hold Through High-Impact Events
Slippage is strongest during major news. If you hold through Banxico or CPI, you are volunteering to experience one of the worst fills of your trading career.
5. Trade Smaller During Thin Periods
If you must trade outside prime hours, reduce size. A smaller position reduces the impact of bad fills and ensures you are not pushing size into a thin book.
Definitions for Screen Readers
Slippage: The difference between the price you expect and the price you receive when a trade executes.
Liquidity: The availability of buy and sell orders in the market. High liquidity means many orders; low liquidity means few orders.
Order Book: The list of buy and sell orders waiting to be filled at specific price levels.
Market Order: An order to buy or sell immediately at the best available price.
Limit Order: An order to buy or sell at a specific price or better.
Liquidity Vacuum: A zone in the market where very few resting orders exist, causing fast price movement when pressure arrives.
Bottom Line
Slippage is a structural feature of 6M due to thin liquidity, fast orderflow, and aggressive reactions to economic news. You cannot avoid it entirely, but you can control how often it happens and how much damage it causes. Once you respect the Peso’s volatility and adjust your execution methods, bad fills become rare instead of constant.
The next article explains 6M’s volatility profile—how far it normally moves, how to measure it, and how to build risk management around its unique behavior.