What is Slippage?
The difference between the price you expected and the price you got, from moving the book yourself.
Large orders fill across several price levels, so the average fill is worse than the quote you saw. On thin books that gap can be severe.
Slippage is why a price chart is not a promise: the last traded price says nothing about what your size would clear at.
Related terms
- Order bookTrading
The standing bids and asks at each price on an exchange, and the size waiting there.
- LiquidityTrading
How easily you can buy or sell without moving the price: depth, spread and turnover together.
- Trading volumeTrading
The value traded over a period, usually 24 hours; a measure of interest and turnover.