Order Execution

Supported Order types

The following order types are available:

Immediate or Cancel (IOC) orders to trade immediately on the best available terms, with or without a defined tolerancet.

Resting Limit, Market, Stop and Stop Limit orders for longer duration's i.e Day Order, Good till Cancelled etc

Trailing Stops, where a Stop order can be specified to trail the market are supported.

All Resting Limit and Stop orders can be placed as either:

  • Day Order (DO): Valid until the official close of trading on the day the order is placed (or on the subsequent business day for orders accepted during the weekend)
  • Good till Date (GTD): Valid until the official close of trading on a date of your choice
  • Good till Cancelled (GTC): Valid indefinitely unless or until specifically cancelled by you.

Market Orders

A Market order is a traditional ‘at best’ instruction to trade as much of the order as possible on the best available terms in the market.

Market IOC (Immediate-or-Cancel) order - An instruction to buy or sell as much of the order as possible, immediately. Immediately means the order is placed with a 33 second Time-to-Live (TTL). A Market IOC order can result in a partial fills. If the order cannot be filled in full, any remainingremaining amount will be cancelled. Price Tolerance cannot be added to a Market IOC order, meaning that the client cannot control the execution price range.

Market order - A Market order with Day duration to buy or sell as much of the order as possible on the best available terms in the market. AMarket order can result in a partial fills.  If the order cannot be filled in full,any remaining amount will continue working for the set duration.

Limit Orders

A Limit order is an order to trade at a specified price or better if it is possible to do so within a specified time.

  • Limit orders to buy can only be placed below the current market price
  • Limit orders to sell can only be placed above the current market price

Limit IOC (Immediate-or-Cancel) order - An instruction to buy or sell as much of the order as possible at the client’s specified price, or better, immediately. Immediately means the order is placed with a 33 second Time-to-Live (TTL). ALimit IOC order can result in a partial fills. If the order cannot be filled in full, anyremaining amount will be cancelled.

Resting Limit order - A Limit order with variable duration (Day, Good-Til Cancelled etc) that rests at Saxo Capital Markets at a specific price until triggered, cancelled or expired. A Resting Limit order can result in partial fills. If the order cannot be filled in full, any remaining amount will revert to a 'resting order'.

Stop Orders

A Stop order is usually used to close a position when the market is going against it with a view to prevent further losses. It may also be used to open a position when the market moves through a chosen level. All Stop orders are triggered on the opposite side of the spread. These orders are typically filled at the stop level adjusted for the spread at the time.

A Stop order placed to Buy is treated as a Stop if Bid. A Stop order placed to Sell is treated as a Stop if Offer. This is to prevent orders from being triggered just because of a temporary large spread (maybe for a split of a second) as opposed to actual buyers and sellers being present in the market.

  • A Stop order to buy will be triggered when the bid price at which the client could undertake a transaction of equivalent size reaches the specified price level. Once triggered, the order will be treated as a Market order.
  • A Stop order to sell will be triggered when the offer price at which the client could undertake a transaction of equivalent size reaches the specified price level. Once triggered, the order will be treated as a Market order.

Saxo's order management system has certain client protection mechanisms in place that ensures that the vast majority of orders are filled on transparent prices without any slippage. Please see our Historical Stop Order fill statistics below.

Stop Limit order - A Stop Limit order with variable duration (Day, Good Til-Cancelled etc) that rests at Saxo at a specific price until triggered, cancelled or expired. Once the price is triggered, theSpot Limit order is converted into a Resting Limit order at the Stop price. A Resting Limit order can result in partial fills. If the order cannot be filled in full, any remaining amount will revert to a 'resting order'. Trailing Stop Limit orders are not available.

Manual Order fill

Typically, only a very small proportion of orders placed with Saxo Capital Markets require manual intervention.

Manual intervention may occur when the order is:

  • Large in size and cannot be automatically traded
  • There are highly volatile and/or illiquid market conditions
  • In an illiquid currency pair

During illiquid market conditions there are fewer market participants and thus dealers will need to check the price and also that the desired trade amount is actually available in the market.

Partial Order fill

A partial fill may occur in the event that there is not enough liquidity available at the price and/or at the size that the client wishes to trade.

An Immediate of Cancel (IOC) order will continue working until the full amount is filled as long as it is within the 33 second Time to Live (TTL), after which time the order will expire. If an IOC order is only partially filled any remaining amount will be cancelled.

A Resting order will continue working until the full amount is filled as long as it is within the set duration (i.e. Day, Good-Til-Cancelled etc). If a Resting order is only partially filled, any remaining amount will revert to a 'resting order'.

Order Driven Execution Statistics

Average slippage, price improvement and rejection rate

The table below shows the following execution statistics for Saxo Capital Markets’ most traded FX Spot instruments.

  • Average slippage
  • Average price improvement
  • Average rejection rate

The statistics are based on simulated trade attempts using a Limit IOC order based on Saxo Capital Markets’ actual market prices, trade frequency and volume for the period May 2016 to October 2016.

How to read the table:

The majority of trade attempts using a Limit IOC order were filled with positive or zero slippage. For example, 81.4% of trade attempts in EURUSD were filled with positive or zero slippage, resulting in an average price improvement of 0.0031%. For all trade attempts in EURUSD, on average only 0.8% were rejected when applying default Price Tolerance of 0.01%.

Currency Pair Positive or Zero slippage Negative slippage Average Price Improvement* Average Rejection Rate**
EURUSD 81.4%18.6% 0.0031% 0.80%
USDJPY 79.8%20.2% 0.0042% 1.40%
GBPUSD 77.8%22.2% 0.0057% 2.40%
XAUUSD 76.1%23.9% 0.0048% 2.30%
AUDUSD 83.0%17.0% 0.0045% 1.50%
USDCAD 78.8%21.2% 0.0029% 0.80%
GBPJPY 71.7%28.3% 0.0063% 3.40%
EURJPY 75.2%24.8% 0.0036% 1.60%
EURGBP 80.1%19.9% 0.0051% 1.60%
NZDUSD 83.1%16.9% 0.0067% 1.80%
XAGUSD 83.0%17.0% 0.0116% 4.90%
AUDJPY 77.5%22.5% 0.0051% 2.00%
USDCHF 84.9%15.1% 0.0034% 0.80%
USDTRY 83.7%16.3% 0.0071% 1.60%
AUDNZD 86.3%13.7% 0.0041% 0.70%
USDRUB 86.7%13.3% 0.0047% 1.40%
TRYJPY 86.6%13.4% 0.0167% 4.50%
EURNOK 81.0%19.0% 0.0020% 0.40%
EURAUD 80.6%19.4% 0.0031% 0.90%
EURCHF 86.6%13.4% 0.0022% 0.40%

*Average price improvement for trade attempts filled with positive slippage, regardless of the Price Tolerance.
** Average Rejection Rate for trade attempts with default Price Tolerance of 0.01%.

Net Average Price Improvement and Rejection Rate by Price Tolerance

The table below shows average price improvement and average rejection rate, based on Price Tolerance of 0.00% to 0.05%. The statistics are based on simulated trade attempts using a Limit IOC order based on Saxo Capital Markets’ actual market prices, trade frequency and volume for the period May 2016 to October 2016.

How to read the table:
Lower Price Tolerance may result in higher average price improvement, however it is important to note that this comes at the expense of a higher rejection rate. For example in EURUSD, Price Tolerance of 0.00% would result in an average price improvement of 0.0007% but at the expense of an 18.6% rejection rate.

Average Price Improvement
Instrument 0.00% 0.01%* 0.02% 0.03% 0.04% 0.05%
EURUSD0.0007%0.0002%0.0001%0.0001%0.0001%0.0001%
USDJPY0.0012%0.0005%0.0004%0.0003%0.0003%0.0002%
GBPUSD0.0018%0.0009%0.0006%0.0005%0.0005%0.0004%
XAUUSD0.0015%0.0005%0.0003%0.0002%0.0002%0.0001%
AUDUSD0.0010%0.0004%0.0002%0.0001%0.0001%0.0001%
USDCAD0.0008%0.0002%0.0001%0.0001%0.0001%0.0001%
GBPJPY0.0025%0.0012%0.0009%0.0008%0.0007%0.0006%
EURJPY0.0012%0.0004%0.0003%0.0002%0.0001%0.0001%
EURGBP0.0013%0.0006%0.0005%0.0004%0.0004%0.0003%
NZDUSD0.0014%0.0008%0.0006%0.0005%0.0005%0.0004%
XAGUSD0.0025%0.0016%0.0012%0.0009%0.0007%0.0007%
AUDJPY0.0015%0.0006%0.0004%0.0003%0.0003%0.0003%
USDCHF0.0006%0.0002%0.0001%0.0001%0.0001%0.0001%
USDTRY0.0014%0.0009%0.0008%0.0007%0.0006%0.0006%
AUDNZD0.0007%0.0002%0.0002%0.0002%0.0001%0.0001%
USDRUB0.0007%0.0003%0.0001%0.0001%0.0000%0.0000%
TRYJPY0.0026%0.0019%0.0015%0.0013%0.0012%0.0011%
EURNOK0.0005%0.0001%0.0001%0.0000%0.0000%0.0000%
EURAUD0.0008%0.0002%0.0001%0.0001%0.0001%0.0000%
EURCHF0.0004%0.0001%0.0001%0.0000%0.0000%0.0000%

*Default Price Tolerance for FX Limit IOC orders.

Average Rejection Rate
Instrument 0.00% 0.01% 0.02% 0.03% 0.04% 0.05%
EURUSD18.6%0.8%0.2%0.1%0.0%0.0%
USDJPY20.2%1.4%0.5%0.2%0.1%0.1%
GBPUSD22.2%2.4%1.0%0.5%0.3%0.2%
XAUUSD24.0%2.3%0.7%0.3%0.1%0.1%
AUDUSD16.9%1.5%0.3%0.1%0.1%0.0%
USDCAD21.2%0.8%0.1%0.0%0.0%0.0%
GBPJPY28.2%3.4%1.5%1.0%0.7%0.5%
EURJPY24.9%1.6%0.6%0.3%0.2%0.1%
EURGBP19.9%1.6%0.5%0.3%0.2%0.1%
NZDUSD16.9%1.8%0.5%0.3%0.1%0.1%
XAGUSD17.0%4.9%2.2%0.9%0.5%0.4%
AUDJPY22.5%2.0%0.6%0.3%0.2%0.1%
USDCHF15.1%0.8%0.2%0.1%0.0%0.0%
USDTRY16.3%1.6%0.7%0.4%0.2%0.2%
AUDNZD13.7%0.7%0.2%0.1%0.0%0.0%
USDRUB13.2%1.4%0.5%0.2%0.1%0.0%
TRYJPY13.4%4.5%2.4%1.6%1.2%1.0%
EURNOK19.0%0.4%0.0%0.0%0.0%0.0%
EURAUD19.4%0.9%0.2%0.1%0.1%0.0%
EURCHF13.4%0.4%0.1%0.0%0.0%0.0%

Historical FX Stop Order Fill Statistics

Order Fill Statistics

The tables below details Saxo Bank Group's performance in filling client Stop Orders on the major currency pairs.

  • The data is for all Stop Orders.
  • Limit Orders are not included in the data because they are filled at the order level or better.
  • Market Orders are also not included because they are filled at best available price when executed.

Q3 2016 - 1. July to 30. September 2016

PairNumber of ordersNumber of orders seeing slippagePercentage filled with no slipAverage slippage in pipsMedian slippage in pips
AUDUSD8,466 149 98%0.10.0
EURCHF298 499%0.10.0
EURGBP2,232 41 98%0.10.0
EURJPY2,663 37 99%0.10.0
EURUSD24,331 617 97%0.10.0
GBPUSD13,356 307 98%0.10.0
USDCHF1,431 33 98%0.20.0
USDJPY24,082 1,091 95%0.10.0

Q2 2016 - 1. April to 30. June 2016

PairNumber of ordersNumber of orders seeing slippagePercentage filled with no slipAverage slippage in pipsMedian slippage in pips
AUDUSD5,597 62 99%0.00.0
EURCHF414 4 99%0.00.0
EURGBP919 3 100%0.00.0
EURJPY2,113 25 99%0.10.0
EURUSD22,497 232 99%0.00.0
GBPUSD8,308 138 98%0.10.0
USDCHF520 2 100%0.10.0
USDJPY1,474 51 97%0.10.0

Q1 2016 - ​1. January to 31. March 2016

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD 7,98710299%0.00.0
EURCHF 284299%0.00.0
EURGBP 2,0466100%0.00.0
EURJPY 2,9873199%0.00.0
EURUSD35,934 61698%0.10.0
GBPUSD10,56144100%0.00.0
USDCHF 1,8946100%0.00.0
USDJPY20,902 36798%0.00.0

Q4 2015 - 1. October to 31. December 2015

Pair

Number of orders

Number of orders seeing slippage

Percentage filled with no slip

Average slippage in pips

Median slippage in pips

AUDUSD

6,534

179

97%

0.1

0.0

EURCHF

623

4

99%

0.0

0.0

EURGBP

1,434

7

100%

0.0

0.0

EURJPY

2,578

49

98%

0.1

0.0

EURUSD

41,885

1,856

96%

0.4

0.0

GBPUSD

7,139

253

96%

0.2

0.0

USDCHF

1,479

21

99%

0.1

0.0

USDJPY

10,017

487

95%

0.4

0.0

Pair​​​Number of orders​Number of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median Slippage in pips
AUDUSD​5,449​​304 ​94%​0.10.0
​EURCHF​289 ​1 100%​0.0​0.0
​EURGBP950​7 ​99%​0.00.0
​EURJPY2,99025 ​99%0.00.0
​EURUSD​36,585 1,531 ​96%​0.0​0.0
​GBPUSD6,225 306 ​95%​0.10.0
​USDCHF660 ​8 ​99%​0.0​0.0
​USDJPY35,518 ​3,018 ​92%​0.0​0.0
 

Q3 2015 - 1. July to 30. September 2015

Pair Number of orders Number of orders seeing slippage Percentage filled with no slip Average slippage in pips Median slippage in pips
AUDUSD 7,230 244 97%0.10.0
EURCHF 365 2 99%0.00.0
EURGBP 1,501 5 100%0.00.0
EURJPY 3,864 27 99%0.00.0
EURUSD 47,974 2,561 95%0.10.0
GBPUSD 8,073 224 97%0.20.0
USDCHF 1,095 7 99%0.00.0
USDJPY 14,405 929 94%0.10.0

Q2 2015 - 1. April to 30. June 2015

Pair​​​Number of orders​Number of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median Slippage in pips
AUDUSD​9,103 37496%​0.20.0
​EURCHF2511100%0.0​0.0
​EURGBP1,816 26​99%​0.10.0
​EURJPY4,859 45​99%0.00.0
​EURUSD​85,1944,517 95%​0.1​0.0
​GBPUSD12,690 417​97%​0.30.0
​USDCHF1,021 ​14 ​99%​0.1​0.0
​USDJPY12,925 ​525 ​96%​0.2​0.0
 

Q1 2015 - ​1. January to 31. March 2015

Pair​​​Number of orders​Number of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median Slippage in pips
AUDUSD​10,038 ​​​420 96%​0.10.0
​EURCHF1,869 300 84%16.1​0.0
​EURGBP1,615 5 ​100%​0.00.0
​EURJPY7,690 93​99%0.00.0
​EURUSD​83,271 4,610 94%​0.0​0.0
​GBPUSD12,184 283 ​98%​0.10.0
​USDCHF1,401 ​91 ​94%​9.4​0.0
​USDJPY29,973 ​1,100 ​96%​0.0​0.0
 

Q4 2014 - 1. October to 31. December 2014

Pair​​​Number of orders​Number of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median Slippage in pips
AUDUSD​5,449​​304 ​94%​0.10.0
​EURCHF​289 ​1 100%​0.0​0.0
​EURGBP950​7 ​99%​0.00.0
​EURJPY2,99025 ​99%0.00.0
​EURUSD​36,585 1,531 ​96%​0.0​0.0
​GBPUSD6,225 306 ​95%​0.10.0
​USDCHF660 ​8 ​99%​0.0​0.0
​USDJPY35,518 ​3,018 ​92%​0.0​0.0
 

Q3 2014 - 1 July to 30 September 2014

Pair​​​Number of orders​Number of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median Slippage in pips
AUDUSD​7,553 ​​4​76 ​94%​0.10.0
​EURCHF​535 ​3 ​99%​0.0​0.0
​EURGBP1,648 ​10 ​99%​0.00.0
​EURJPY3,576 25 ​99%0.00.0
​EURUSD​38,339 1,113 ​97%​0.1​0.0
​GBPUSD12,632 910 ​93%​0.10.0
​USDCHF1,300 ​17 ​99%​0.1​0.0
​USDJPY17,537 ​400 ​98%​0.0​0.0
 

Q2 2014 - 1 April to 31 June 2014

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD
7,413
349
95%
0.1
0.0
EURCHF
440
7
98%
0.2
0.0
EURGBP
1,270
14
99%
0.1
0.0
EURJPY
7,210
281
96%
0.1
0.0
EURUSD
41,023
1,116
97%
0.0
0.0
GBPUSD
9,480
477
95%
0.1
0.0
USDCHF
2,007
12
99%
0.0
0.0
USDJPY
16,063
519
97%
0.1
0.0

Q1 2014 - 1 January to 31 March 2014

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD
12,360
637
95%
0.1
0.0
EURCHF
844
4
100%
0.0
0.0
EURGBP
2,317
18
99%
0.0
0.0
EURJPY
8,299
61
99%
0.0
0.0
EURUSD
50,989
968
98%
0.1
0.0
GBPUSD
14,548
1,106
92%
0.1
0.0
USDCHF
3,444
32
99%
0.1
0.0
USDJPY
31,394
765
98%
0.1
0.0

Q4 2013 - 1 October to 31 December 2013

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD9,75048495%​0.1​0.0​
EURCHF​8182100%​0.0​0.0​
EURGBP1,55836​98%​0.1​0.0​
EURJPY​6,36337​99%​0.0​0.0​
EURUSD​59,4431,648​97%​0.1​0.0​
GBPUSD13,84778494%​0.20.0​
USDCHF​3,68542​99%​0.1​0.0​
USDJPY​24,795786​97%​0.10.0​

Q3 2013 - 1 July to 30 September 2013

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD14,932​1,293​91%​0.7​0.0​
EURCHF​735 ​599%​0.0​0.0​
EURGBP1,909​43​98%​0.1​0.0​
EURJPY​7,401​132​98%​0.0​0.0​
EURUSD​60,866​2,133​96%​0.1​0.0​
GBPUSD13,731​85394%​0.0​0.0​
USDCHF​3,060​49​98%​0.1​0.0​
USDJPY​43,716​3,415​92%​0.2​0.0​

Q2 2013 - 1 April to 30 June 2013

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD​14,931 ​817 ​95%​0.1​0.0​
EURCHF​1,233 ​23 ​98%​0.1​0.0​
EURGBP1,727 ​6​100%​0.0​0.0​
EURJPY​23,095 ​1,770​92%​0.1​0.0​
EURUSD​78,384 ​1,751​98%​0.0​0.0​
GBPUSD13,535 ​42297%​0.0​0.0​
USDCHF​3,692 ​24​99%​0.0​0.0​
USDJPY​62,208 ​3,659​94%​-0.1​0.0​

Q1 2013 - 1 January to 31 March 2013

PairNumber of ordersNumber of orders seeing slippage​Percentage filled with no slippage​Average slippage in pips​Median slippage in pips
AUDUSD​7,377 ​161​98%​0.0​0.0​
EURCHF​1,641 ​9​99%​0.0​0.0​
EURGBP​2,506 ​8​100%​0.0​0.0​
EURJPY​43,913 ​5,618 ​87%​0.0​0.0​
EURUSD​93,576 ​2,296 ​98%​0.0​0.0​
GBPUSD​15,718 ​1,434 ​91%​0.0​0.0​
USDCHF​2,051 ​4​100%​0.0​0.0​
USDJPY​28,633 ​1,928 ​93%​0.0​0.0​

Note:

Actual fill levels will always differ from order levels by the amount of the client spread for orders placed on the opposite side of the spread (i.e., buy if bid and sell if offered).  In these cases, therefore, slippage is calculated as that beyond the expected amount given the actual bid/offer spread.  For orders placed on the same side of the spread (i.e. sell if bid and buy if offered), slippage is calculated as the full realized difference between fill and order rates.