Slippage
The difference between the price expected when an order is placed and the price at which it actually fills. It grows with order size, thin liquidity and fast-moving markets.
The difference between the price expected when an order is placed and the price at which it actually fills. It grows with order size, thin liquidity and fast-moving markets.
Why it matters
Backtests that ignore slippage overstate returns, sometimes dramatically for short-horizon strategies.
Related terms
- Bid-Ask Spread
- Liquidity
- Market Order