Why do follower fills differ from the leader's price?

Understanding Price Discrepancies Between Leader and Follower Accounts

When using a trade copier like Replikanto, where the leader's trades are automatically replicated to follower accounts, it's common to notice some differences in the order fill prices between the leader and follower. This variation can be attributed to several factors:

Which Orders Replikanto Copies

By default, Replikanto copies every order placed by the leader, including exit orders (stop-loss and take-profit), to the follower accounts. Two settings change this behavior:

• ATM Copy: If the leader places entry orders using a NinjaTrader ATM Strategy and the ATM Copy setting is checked, exit orders are not copied to the follower — the follower's own ATM strategy manages its exits instead. If ATM Copy is left unchecked, exit orders are copied along with everything else, as usual.
• Market Only: If the Market Only setting is checked, only the leader's executions (fills) are copied to the follower rather than the original order type and parameters. If Market Only is left unchecked, orders are copied as the leader placed them.

Outside of these two cases, all leader orders — entries and exits alike — are copied to followers.

Common Causes of Price Differences

• Market Volatility: Futures markets are extremely volatile, with prices changing every millisecond due to countless factors. If the leader's trade is executed during a period of high volatility, the price may have moved by the time the follower's trade is placed.
• Lag Time: Even with a trade copier, there's typically a small delay (latency) between when the leader's trade is executed and when the follower's trade is submitted. In fast-moving markets, even a few milliseconds can result in price differences.
• Liquidity: In cases where the leader is trading large volumes, market liquidity can affect the execution price. If there isn't enough volume at the leader's execution price to fill both the leader's and follower's orders, the follower's order may be filled at a different price.
• Slippage: Slippage occurs when an order is executed at a different price than the requested price and can happen during market gaps or periods of high volatility. Both leaders and followers can experience slippage. Learn more here.
• Broker Execution Speed: Different brokers have different execution speeds for trades. A slight difference in execution speed can result in a difference in the price at which a trade is completed.
• Stop moved past the market (Replikanto 1.7.0.0 and later): When the leader's exit stop is moved to a price the market has already passed (for example, by an ATM breakeven or trailing stop) and NinjaTrader accepts it on the leader, Replikanto places each follower's stop at that follower's own bid or ask, or 1 to 2 ticks inside the market if it has to resubmit because the market kept moving, so the follower's broker does not reject it. That stop then fills at market right away, so its fill price can differ by a few ticks from the leader's (for example, leader filled at 28406.25, followers at 28406 and 28405.75). This is intended: the follower exits together with the leader instead of being left in the position.

Cross Order Feature

Using Replikanto's Cross Order feature, where an order is copied to followers on a different instrument, can increase the likelihood of orders filling on one side but not the other. Although related instruments typically move together, there are times when the price of one can vary by a few ticks compared to the other, most commonly during periods of high volatility.

For example, when using the NQ instrument for the leader and MNQ for followers, a stop order placed at 15000 might be filled on followers where MNQ has reached 15000, but not on the leader where the price has only reached 14999.75.

Starting with Replikanto 1.7.0.0, when the follower's Cross Order instrument has a different price increment (tick size) than the leader's, the copied order price is rounded to the follower instrument's tick, so the follower's order price itself can differ slightly from the leader's. Buy limit and buy stop prices are rounded down; sell limit and sell stop prices are rounded up. A follower limit order is therefore never more aggressive than the leader's and may not fill where the leader's did, while a stop is moved toward the market. Prices that are already on the follower instrument's tick grid (for example, ES to MES) are not changed. When a price is rounded, the Log tab shows a line like this:

Replikanto: [Copier] Rounded a cross-tier follower price onto the destination instrument's tick grid. follower='...' sourceInstrument='...' destinationInstrument='...' destinationTick=... oldLimitPrice=... newLimitPrice=... oldStopPrice=... newStopPrice=...

What's Normal

Some degree of price discrepancy is almost inevitable due to the nature of financial markets and the mechanics of trade copying. Small differences of a few ticks are normal and expected in most market conditions.

Tips to Minimize Discrepancies

• Ensure both leader and follower accounts have low-latency internet connections
• Choose brokers with fast execution speeds for both accounts
• Avoid trading during extremely volatile periods if minimizing fill discrepancies is critical
• Consider using market orders instead of stop/limit orders if exact price entry is less important than guaranteed execution

Understanding these factors helps set realistic expectations about copy trading performance.