Slippage describes the difference between the expected execution price of an order and the price at which the order is actually filled.
Traders and venues measure slippage to gauge execution quality. It is often expressed as a price difference or as a percentage of the reference price, and it reflects market conditions, liquidity, and the speed of order handling. Slippage can occur even when the order is filled, because prices move between submission and execution, and because execution may involve multiple price levels in the order book or partial fills.
In microstructure, slippage arises from price movements during routing and execution, as well as the market impact of the order itself. Large orders relative to liquidity, thin or volatile markets, and slow or congested venues tend to produce higher slippage. Different venues and routing paths may offer different depths at best prices, which affects the final fill price.
Slippage is typically measured as (actual execution price − expected price) / expected price × 100, or as a basis-point difference relative to the reference price. Analysts look at average and worst-case slippage over sessions or per asset to assess execution quality.
Slippage is separate from explicit trading costs such as commissions or fees; it is an execution-quality issue driven by market microstructure, order size, and speed.
A trader submits an order for 5,000 shares; during execution, the average fill price ends up higher than the initial quote by 0.12% due to market movement and limited depth.
Bid-ask spread · Market depth · Market impact · Liquidity · Latency · Order routing