Slippage explained: why fills differ from the quoted price

Slippage is the difference between the price a trader expects and the average price an order actually fills at. It grows when the order is large compared with the depth at the best price, when the market moves fast, or when prices change while the order is in transit. Traders limit it with limit orders, smaller orders and slippage tolerance settings.

Examples use illustrative prices and quantities.

What slippage is

When a trader looks at a market, they see a quoted price, usually the best ask for a buy or the best bid for a sell. A market order does not promise that price. It promises a fill at whatever prices the book offers at that moment.

Slippage = average fill price − expected price (for a buy)

For a sell, the sign is reversed: slippage is the expected price minus the average fill. Either way, a positive number is a worse fill than expected.

Slippage % = slippage ÷ expected price × 100

What causes slippage

Order size compared with depth

The most common cause. A market order fills level by level. If the best price holds 0.2 BTC and the order is for 1.5 BTC, the rest fills at worse prices further up the book. The order book guide explains depth in detail.

Volatility

In a fast market, prices and resting orders change quickly. The book a trader saw a moment ago may not be the book the order meets. Spreads also tend to widen, so the best price itself is further from mid.

Latency

Orders take time to travel from the trader’s screen to the venue. If the price moves during that time, the fill differs from the quote. Delays can come from the network, the app or the venue under heavy load.

Worked example: walking the order book

Here is an illustrative BTC/USDT ask side. Bids are not needed for a buy.

Ask price	Size (BTC)	Cumulative (BTC)
$60,000.00	0.20	0.20
$60,010.00	0.30	0.50
$60,020.00	0.50	1.00
$60,030.00	0.80	1.80

The best bid is $59,990.00, so the mid price is $59,995.00.

A market buy for 1.5 BTC

The order takes each level in turn until 1.5 BTC is filled.

Level	Fill (BTC)	Cost
$60,000.00	0.20	$12,000.00
$60,010.00	0.30	$18,003.00
$60,020.00	0.50	$30,010.00
$60,030.00	0.50 (of 0.80)	$30,015.00
Total	1.50	$90,028.00

Check of the last level: 0.50 × $60,030.00 = $30,015.00.

Average fill price = $90,028.00 ÷ 1.50 = $60,018.67 (rounded from $60,018.667)

Slippage against the best ask

• Per BTC: $60,018.67 − $60,000.00 = $18.67
• In total: $90,028.00 − (1.50 × $60,000.00) = $90,028.00 − $90,000.00 = $28.00
• As a percentage: $18.67 ÷ $60,000.00 × 100 = 0.031%

Slippage against the mid price

• Per BTC: $60,018.67 − $59,995.00 = $23.67
• As a percentage: $23.67 ÷ $59,995.00 × 100 = 0.039%

Measuring from mid includes half the spread. Measuring from the best ask isolates the cost of size. Both are used, so it helps to know which one a figure refers to.

Compared with fees

At an illustrative 0.05% taker fee, this trade pays $90,028.00 × 0.0005 = $45.01 in fees. Slippage added $28.00 on top. On large orders the two costs can be similar in size. Maker vs taker fees shows the fee arithmetic.

A small order for comparison

A market buy for 0.1 BTC fits inside the 0.20 BTC at the best ask. It fills entirely at $60,000.00, with no slippage against the best ask. Size relative to depth is what made the difference.

Ways traders limit slippage

These are mechanics, not recommendations. Each has a trade-off.

1. Limit orders

A limit order cannot fill worse than its limit price. Say the trader uses a limit buy for 1.5 BTC at $60,010.00 instead.

• Fills at once: 0.20 at $60,000.00 and 0.30 at $60,010.00 = 0.50 BTC
• Cost: $12,000.00 + $18,003.00 = $30,003.00
• Average fill: $30,003.00 ÷ 0.50 = $60,006.00
• The other 1.00 BTC rests on the book at $60,010.00, unfilled unless sellers arrive

The trade-off is fill certainty. Market, limit, stop and stop-limit orders explained covers it.

2. Splitting the order

Some traders break a large order into smaller pieces over time. Each piece takes less depth, so each fills closer to the top of the book, if new orders replace those taken. That is not certain. The price can also move away between pieces.

3. Slippage tolerance

Some order forms let a trader set a maximum acceptable slippage as a percentage. At a tolerance of 0.03% on a quote of $60,000.00:

• Worst acceptable price: $60,000.00 × 1.0003 = $60,018.00
• Levels at or below that price: $60,000.00 and $60,010.00, so 0.50 BTC can fill
• The remaining 1.00 BTC is not executed at worse prices

Depending on venue rules, the unfilled part is cancelled or rests as a limit order. Time in force settings decide this; see time in force: GTC, IOC and FOK.

4. Checking depth first

Comparing order size with cumulative depth before sending gives a rough estimate of the fill. Some order tickets show an estimated fill price for this reason. It remains an estimate, because the book can change before the order arrives.

Slippage on leveraged positions

On perps, slippage applies to the full notional value, not the margin. A $28.00 slippage cost on a position with $9,002.80 of margin at 10x is about 0.31% of that margin. Slippage on a closing order during a sharp move can be larger still, which is one reason liquidation prices are labelled as estimates. See leverage, margin and liquidation explained.

Common mistakes

• Using last price as the expected price. A buy fills at the ask, not the last trade.
• Ignoring size in thin markets. A small spread can hide a thin book.
• Setting zero tolerance in fast markets. The order may not fill at all.
• Forgetting slippage on exits. Stop-market orders can fill well beyond the trigger.

Related

For how sudden forced selling deepens slippage, see liquidation cascades explained. More guides sit under trading concepts.