What is Slippage?
The difference between the expected price of a trade and the actual price at which it executes — caused by market movement between order placement and fill.
Slippage occurs when your order fills at a different price than you expected. It's an invisible cost that affects every market order and is especially significant for large positions and in low-liquidity markets.
Why slippage happens:
When you place a market order, you agree to buy/sell at whatever price is available in the order book. If the order book is thin, your large order "eats through" multiple price levels:
Positive vs. negative slippage:
Estimating slippage:
| Position Size vs. Daily Volume | Expected Slippage |
|---|---|
| < 0.1% | Minimal (< 0.01%) |
| 0.1–1% | Low (0.01–0.05%) |
| 1–5% | Moderate (0.05–0.2%) |
| > 5% | High (0.2%+) |
How to minimize slippage: