Slippage: the gap between the price you clicked and the price you got
Slippage is the difference between the price you expected when you sent an order and the price the order actually filled at. It happens because a quote is a snapshot of the best price available for a limited quantity at one instant, while your order arrives later and may be larger than that quantity. The gap can go against you or in your favour, depending on which way the book moved while your order was in flight.
Slippage is the difference between the price you expected when you sent an order and the price it actually filled at. You clicked at one number, the trade printed at another, and the distance between them is slippage.
It is not an error, and it is not usually someone taking a slice off the top. It is a structural consequence of how a quote works.
A quote is a price for a quantity, not a price for you
The number on your screen is the best available price in the order book at the moment the screen updated. That price sits on top of a specific quantity: someone is willing to sell a certain amount at it, and no more. Behind that are other offers at slightly worse prices, each with their own quantity. That stack is the depth of the book, and it is what your order actually eats into. How an order book works covers the structure in detail.
Two things happen between your click and your fill.
First, time passes. Your order travels to the venue, waits in a queue, and gets matched. During that interval other people are also trading, and the best price may no longer exist by the time you arrive. The quote you acted on was already history.
Second, your order may be bigger than the quantity sitting at the best price. If so, the matching engine fills what it can at that level, then moves to the next level, then the next, until your whole order is done. Your fill price is the weighted average of those pieces, which is necessarily worse than the top of the book.
That is the whole mechanism. A quote describes a limited amount of liquidity at one instant. Your order is a request to trade a specific amount at a slightly later instant. Slippage is the reconciliation of those two facts.
The gap runs both ways
Because slippage comes from movement, not from a charge, it is directionally neutral. If price drifts toward your side while your order is in flight, you fill better than you expected. That is positive slippage, and it is the same mechanism running the other way.
Markets do not move symmetrically in practice, so the two directions do not cancel out neatly. But any explanation that treats slippage as a one-way cost is describing a fee, not slippage.
Walking an order through the book
All numbers here are invented to show the method.
Suppose you want to buy 10 units of something. The book shows this resting supply:
| Price level | Units available | Running total |
|---|---|---|
| 100.00 | 3 | 3 |
| 100.05 | 2 | 5 |
| 100.10 | 5 | 10 |
Your screen says 100.00, because that is the best ask. You send a market order for 10 units.
- 3 units fill at 100.00, costing 300.00.
- 2 units fill at 100.05, costing 200.10.
- 5 units fill at 100.10, costing 500.50.
Total cost: 1,000.60 for 10 units. Average fill price: 100.06.
Your slippage is 0.06 per unit, or 0.60 in total, against a quoted price of 100.00. Nobody charged you anything. You simply bought more than the top level could supply, so you paid for the next two levels as well.
Now shrink the order. Buy 2 units instead, and both fill at 100.00 with zero slippage, because your size fits inside the available quantity at the best price. Same book, same venue, same instant. The only variable that changed was your size relative to the depth in front of you.
This is why slippage scales with position size rather than being a fixed property of a market. Sizing the trade is the lever you actually control: our position size calculator and pip value calculator let you see what a given size is worth before you send it.
Three conditions that make the gap widen
The mechanism above only has a few inputs, so only a few things can make it worse.
Thin depth relative to your size. This is the dominant factor. The same order that fills at one price in a deeply quoted major pair will walk several levels in a lightly traded instrument. Depth also varies by hour: liquidity providers quote less size when fewer participants are active, so an identical order can slip differently in the middle of the session than at its quiet edges.
Volatility. When price is moving quickly, the book is being rewritten constantly and the gap between adjacent levels widens as market makers step back from risk. Scheduled news releases and sudden liquidations both produce this. Your order arrives into a book that looks nothing like the one you saw.
Latency. Every millisecond between your click and the match is time for the book to change. This includes your connection, the platform’s routing, and any queue at the venue. Latency does not create slippage by itself. It enlarges the window in which the other two conditions can act on you.
Stack two or three of these and the effect compounds. A large order in a thin instrument during a volatile minute is the worst case, and it is also the case most people describe when they say their fill was bad.
The mistake: treating a stop level as a fill price
The most common misunderstanding is not about slippage in general. It is specifically about stops.
A standard stop order is not a price guarantee. It is an instruction: when the market reaches this level, send a market order. The moment it triggers, you own a market order, with all the behaviour described above. And the thing that triggers a stop is almost always a fast move in one direction, which is precisely when depth thins out and levels spread apart.
So the sequence people experience as a betrayal is the sequence the order type specifies: price gaps down through your stop, the stop fires, the resulting market order walks down a hollowed-out book, and you exit well below the level you set. The stop did its job. Its job was never to control the price.
A stop-limit order addresses this by capping how far the fill may travel, at the cost of possibly not filling at all. That is the real trade-off, and it is the same one that governs market orders versus limit orders: you choose between certainty of execution and certainty of price. You cannot have both at once, because a counterparty would have to absorb the risk you are refusing, and nothing in the book is obliged to do that.
The second mistake is smaller but widespread: folding slippage into commission and calling it one cost. They behave differently. Commission is known before you trade and does not change with market conditions. Slippage is unknown beforehand, varies with your size, and can be reduced by changing how you enter rather than by changing where you trade. Our comparison pages and glossary separate the two deliberately.
If you want a single sentence to carry forward: your quoted price is the price of the first slice of your order, under conditions that have already expired.
Education only, not financial advice. Trading carries a risk of loss.
Key facts
- A quoted price is attached to a specific quantity, not to an unlimited amount.
- Market orders prioritise getting filled over getting a price, so they absorb slippage by design.
- Slippage can be positive: if the market moves your way between click and fill, you get a better price than quoted.
- Orders larger than the resting quantity at the best price fill in pieces at progressively worse levels.
- Slippage is separate from the spread and from commission, though all three reduce the same net result.
- Latency, order size relative to available depth, and sudden volatility are the three conditions that widen it.
Frequently asked
Is slippage the same thing as the spread?
No. The spread is the standing distance between the best bid and the best ask, and it is visible before you trade. Slippage is the extra distance between the price you expected and the price you got, and it is only visible after the fill. You can pay the spread with zero slippage, and in a thin or fast market you can pay the spread plus slippage on top.
Can slippage ever work in my favour?
Yes, and it does regularly. If the market ticks toward your side in the moments between your click and your fill, you are filled at a better price than the one you saw. This is sometimes called positive slippage. Venues that pass through the real fill price give you both directions; a venue that only ever fills you worse than quoted is doing something other than passing through the book.
Do limit orders eliminate slippage?
A limit order removes price slippage, because it cannot fill worse than the limit you set. It replaces that risk with fill risk: the order may fill only partly, or not at all, if the market never trades at your price. You are choosing which uncertainty you prefer, not removing uncertainty.
Why do stop orders seem to slip the most?
A standard stop becomes a market order the instant it is triggered, and the thing that triggers it is usually a fast directional move. So stops convert to market orders at exactly the moments when depth at the best price is thinnest. The stop level is where the order wakes up, not where it is guaranteed to fill.
Risk warning: trading is high risk and most retail accounts lose money. Education only, not financial advice.