Trading & Markets
Slippage
The difference between the price you expected and the price you got. Grows with speed, size, and thin books; shrinks with liquidity and limit orders.
In plain English
Slippage appears whenever an order takes liquidity in a moving market: stops fill through the trigger level, market entries pay up in fast tape, and large orders walk the book. ES might slip a tick; NG on a storage report can slip ten.
For prop traders slippage is a rules problem as well as a cost: a stop that slips through a daily loss limit still breaches it. Sim environments typically model slippage gently, so live-transitioning traders budget extra. The mitigations are old ones: trade liquid hours, liquid products, and reasonable size.
- A stop at 17950 in fast conditions fills at 17948.50: 6 ticks x $5 = $30 per contract of slippage on MNQ, and more on a thin market.