Slippage

What Slippage means

Slippage is the gap between expected and achieved execution price. It arises because the market moves in the milliseconds between an order being sent and matched, and because the size resting at the top of the book may be smaller than the order, forcing the remainder to fill at worse levels. It affects market orders and stop orders, which become market orders when triggered; genuine limit orders never fill worse than their limit, though they may not fill at all.

Slippage is not always negative. In symmetrical execution a trader receives price improvement about as often as an adverse fill in normal conditions, and brokers publishing execution statistics usually report both. It becomes damaging around scheduled news, at the daily rollover and at the Sunday open, when depth collapses. Practical mitigations are avoiding those windows, using limit orders where the strategy tolerates missed entries, and sizing positions to the liquidity actually available.