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Slippage
QuantThe difference between the expected fill price of a trade and the price at which it actually executes. A major component of transaction cost in liquid markets.
Full definition
Slippage is the gap between the price the model expected when it placed an order and the price at which the order actually filled. It arises from latency, market impact, and queue position. In liquid markets it is small; in less-liquid markets it can be the difference between a profitable strategy and a losing one. On this site, gate G25 of the G1 to G31 evaluation stack requires every published backtest to model slippage explicitly with a per-asset basis-points assumption that is disclosed alongside the backtest.
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