I have gotten to the bottom of this problem.
The brokerage actually admitted something, I think that my be the first time in the history of brokerages:
Dear Mr. Hunt,
Thank you for your waiting.
We've got the following answer from our backoffice specialists:
Since you are trading large volumes (1 million and more) on your PAMM account, your orders are executed by the dealers manually. In this regard, the execution of market-requests is increased to 5-15 seconds (in a quiet, liquid market) or more (in terms of high volatility or low liquidity market). Typically, such delays do not affect the market price of the requests.
As regards the execution of pending orders: TP, SL and others in accordance with our terms of trade are executed at states prices and, consequently, the precision of execution does not depend on time. The time of execution depends solely on the workload of employees of the dealing department.
Customer service department
If I read between the lines:
'the execution of market-requests is increased to 5-15 seconds (in a quiet, liquid market) or more (in terms of high volatility or low liquidity market). Typically, such delays do not affect the market price of the requests.' = In a low volume/low liquid market we have slippage with orders over 1 million.
'The time of execution depends solely on the workload of employees of the dealing department.' = Our bad, ooops.
While this is very satisfying it does get our money back (Still trying!). I am at least satisfied that I have learned a lesson (and can help others avoid this pitfall) and I feel can move forward.
So what am I going to now? :
With their reply I immediately found an answer to trading larger size with the brokerage (or any brokerage that has the same trading conditions) to avoid this same thing from happening again.
1.) 'As regards the execution of pending orders: TP, SL and others in accordance with our terms of trade are executed at states prices and, consequently, the precision of execution does not depend on time.
I will use only pending orders. (This will not work on this robot)
2.) I will have my EA coded so that the slippage setting is separate for ENTRY and EXIT. Currently I have it set on 3 as I think it safe for exiting to make sure you get filled. (With this robot)
Set the EAs ENTRY slippage to 0 and set EXIT slippage to 2 or 3, that way if I do not get filled that is fine, if I do get filled I know I got the right price. -This is very important for this robot as with any scalper.
Even though I found out the reason and solution, I will not be putting this robot back on the account. I intended on switching over to new private EAs with this account in Jan 2011, but instead with my ruined history I will start with a fresh account, they have a much better R/R ratio. Frankly they trade circles around this EA (Bigger monthly gains, Smaller draw downs -one of them is R/R = 1/1 and 85% winning ratio -Another is better R/R but lower wining ratio). I may be a bit longer now before I start them as I have new features to add (above).
Again, I apologize to anyone who lost money in this. I intend to make it up to you in my next managed account.
PS. You may ask why I do managed accounts:
1.) I think selling an EA is stupid if it is truly profitable. (Brilliant if the EA is too risky or curve fit -not robust, but personally I throw those away)
2.) It creates a nice investment for people.
3.) I do not let my EA get away from me. If it is profitable I want it to stay that way, if the market is saturated with the same trades I do not know how this will effect my EAs performance. I can control saturation if I am the only one with the EA.
4.) I earn a percentage of the persons gains. I still make money from my creation, but only if it does the service of making others money.