In general I think there are some serious issues when it comes to Duka. (worst ECN spreads, fund's safety, etc.) However, I did put in a few 5 mill orders with them and didn't get slipped once (even in a fast moving market). I'm wondering how much of this wierdness has to do with the current market environment. Keep in mind that in the interbank, a counter-party can easily cancel an order (similar to Currenex's last look feature).