Hey Dave,

Orders seem to be more or less apart from the prices by the amount of spread, take the last screenshot and look - opened at 5:10 @ 134.80, so spread around 6 pips = 134.74, there's definitely some slippage (~1 pip) too, so I'd say it's normal. Or in the first pic, 2:45 sell order price is pretty spot on compared to chart price, next buy orders are a part from it again by 6-7 pips, that means spread plus slippage.

You know, that is the main reason why I avoid large spread pairs, they just kill you if you have a high frequency strategy.