Spread, commission and slippage: the three layers of trading cost
Comparing spreads alone understates real cost — execution quality moves net returns just as much.
The first layer is the spread. Marketing figures usually describe the best session; what matters is the average spread during the hours you actually trade and how far it widens around major releases. Our sampling deliberately excludes the 15 minutes around data releases so outliers do not distort the average.
The second layer is commission. Raw-spread accounts pair tighter spreads with a fixed per-lot commission, which usually wins for high-frequency, tight-stop strategies. Spread-only accounts charge no commission but quote wider spreads and suit lower-frequency trading. The test is simple: convert both to total cost per lot and compare.
The third layer is slippage and rejections. With the same nominal spread, consistently worse fills during volatile sessions raise real cost materially. Measure it by logging the gap between expected and executed prices over time, plus the partial-fill rate on limit orders — data you can only obtain from live sampling accounts.