Trade copier slippage: why a follower fills at a different price than the leader

You buy 1 NQ on the leader at 21,000.00 and a follower fills at 21,000.25. That small difference is slippage, and every copier that waits for the leader's fill has some.

Where it comes from

A fill-driven copier waits until the leader's order has actually filled, then sends each follower a market order. That order reaches the market a moment later and fills at the price available then. Market orders make sure the follower gets into the trade; the trade-off is that the price is not guaranteed.

How long that moment is

The delay has three parts:

1. The broker tells the copier the leader filled. Each broker reports fills at its own pace.
2. The copier sends the follower orders. In our tests, Replica took about 5 to 15 milliseconds from receiving the leader's fill to sending the follower orders.
3. Each broker routes and fills the order. Every broker has its own route to the exchange and its own speed, so the same order can fill a little differently at two brokers.

The copier controls only the middle part. The other two belong to the brokers and the market.

When it is larger

• Fast markets: news releases and the open move more in that moment.
• Different brokers: each broker routes and fills orders its own way, so followers at different brokers can fill differently.
• Busy logins: a broker can make a login wait when it sends too many requests.
• Large size: bigger orders can take more than one price level.

What you can control

• Avoid entering in the seconds around major news if a tick or two matters to you.
• Trade liquid contracts and liquid hours.
• Keep each follower's size reasonable for the market you trade.
• Check that your take-profit and stop-loss leave room for a slightly different entry.

Why not copy limit orders instead?

A copier that places limit orders on followers can leave a follower without the trade when the price runs away, so the leader is in and the follower is not. Waiting for the fill and entering at market keeps every follower in the trade the leader actually took.

Where Replica fits

Replica copies fills, not orders: when the leader fills, each follower gets a market order for its own size. A leader limit order that fills is still copied as a market order. On Tradovate and Rithmic followers the take-profit and stop-loss sit at the leader's prices; on TopstepX followers with Auto OCO they sit the same number of ticks from the follower's own fill. Replica does not control the fill price; the broker and the market do. More: why a follower filled at a different price.