Spike is absolutely right ... furhter, in many cases, specifically in the pit traded markets, an order submitted on an electronic platform simply takes the place of a telephone in transmitting your order to the floor.

Many times the slippage you think you got wasn't slippage at all. Keep in mind what you are seeing is history. Albeit in many true electronic cases it's anly a matter of seconds but it is still history. By the time your order hits the top of the execution que you more often than not get exactly the fill to which you are entitled. Which may bear only a passing resemblance to what you were looking for.

In the case of Dave's trade ... his order was placed (I'm assuming)as a buy stop at 852.50. His trade was elected a bit after 9:49. There were no trades in the 9:50 time frame and the 9:51 time frame opened at 860 and closed at 867. Total elapsed time from election to fill was less than 3 minutes and that is withing floor tolerances. That outcome would not have been appreciably different whether placed electronically or through your broker. In this case there was no slippage, Dave simply got the fill to which he was entitled.

When trading markets with a reputation or potential for quick, sudden volatility it is always a good idea to use STOP LIMIT ORDERS ... in this purely bad luck scenario of our good friend Dave "Buying Rough Rice, please buy 1 contract at 852 and one half stop, limit 850" looks awful good in hindsight.