Slippage
TradingDefinition
The difference between the expected price of a trade and the actual fill price. Caused by spreads, market impact, latency, and liquidity gaps.
Tight on liquid stocks (sub-1bp on AAPL); brutal on illiquid names (50-200bps). Slippage on round-trip costs is 2x the one-way figure. Algos and dark pools are designed to minimize slippage on large orders.
Tight on liquid stocks (sub-1bp on AAPL); brutal on illiquid names (50-200bps). Slippage on round-trip costs is 2x the one-way figure. Algos and dark pools are designed to minimize slippage on large orders.