What is slippage?

The difference between the price you expected and the price your order actually filled at.

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In this entry

The difference between the price you expected and the price your order actually filled at.

Slippage grows with order size and shrinks with liquidity. On a dex you set a slippage tolerance before swapping; on an exchange, a large market order fills through the order book at progressively worse prices.

It is the cost that does not appear on a fee schedule, which is why a venue with the lowest advertised fees is not automatically the cheapest place to trade. On thin markets it routinely exceeds the trading fee by a wide margin.

How it works

An order book is a list of resting offers at successive prices. A market buy takes the cheapest offer first, then the next, and keeps going until the order is filled. Your average fill price is the volume-weighted average of every level it consumed, so the deeper into the book an order reaches, the worse that average gets.

Two things determine how far it reaches. The size of your order, and the amount resting near the current price, which is market depth. A market with a thousand units resting within one percent of the mid price absorbs a small order without moving; the same order on a market with ten units resting does not.

There is a second source that has nothing to do with depth. Between the moment you see a price and the moment your order reaches the matching engine, the market moves. On a volatile day that latency alone produces slippage in either direction.

RampAtlas measures this rather than accepting published figures. For each tracked market we read the venue's own order book and compute what a $500, $5,000, and $50,000 market buy would pay against it, alongside the spread and the notional resting within one percent of the mid.

Example

Illustrative book. Suppose the best offers are 2 units at $100, 3 units at $101, and 5 units at $103. A market buy for 4 units takes 2 at $100 and 2 at $101, costing $200 + $202 = $402, an average of $100.50 per unit. Against a $100 quoted price that is 0.5% of slippage. Now buy 9 units: $200 + $303 + $515 = $1,018, an average of $113.11, which is 13.1% against the same quote. The order did not double in size; the cost per unit moved by a factor of twenty-six.

Why it matters when you buy

For a purchase of any size, the measured spread and depth on a venue matters as much as its fee schedule. The liquidity pages show what RampAtlas measured for each asset on each exchange, including the slippage on a $500 order, and the fee comparison shows the stated fees to set beside it. The spread and slippage guide works through the arithmetic in more detail.

  • liquidity — what determines how far an order reaches
  • market depth — the resting size near the price
  • market order — the order type that accepts any fill price
  • limit order — the one that does not
  • spread — the gap you pay to cross immediately
  • price impact — the same idea on an automated market maker

Questions

How do I avoid slippage?

Use a limit order, which fills only at your price or better, and accept that it may not fill at all. Splitting a large order into smaller pieces over time also reduces how deep any single order reaches.

Is slippage a fee?

No, and that is the trap. It is not charged by anyone and does not appear on a statement. It shows up only as a worse average price than you expected.

Does it apply to instant-buy buttons?

Those usually quote a fixed price that already contains a spread, so you do not see slippage as a separate line. You pay for the certainty in the quoted price instead. See instant buy.

Guides that use this term

  • How to Read an Order Book

    An order book is a live list of every unfilled buy and sell order for one trading pair, sorted by price, with buyers stacked below the current price and sellers stacked above it, and reading it tells you what your order will actually cost before you place it.

  • Limit vs Market Orders: When to Use Each

    A market order buys immediately at whatever price the order book offers, and a limit order buys only at a price you name or better, so the choice is between certainty of execution and certainty of price, and on most exchanges it is also a choice between two different fee rates.

  • Spread and Slippage: The Costs That Aren't on the Fee Page

    The spread is the gap between the price you can buy at and the price you can sell at in the same moment, and slippage is the difference between the price you were shown and the price your order actually filled at, and neither one appears as a line item on your trade confirmation.

  • How to Verify a Token Contract Address Before You Buy

    A token's contract address is its only real identity, so verifying one means getting the address from the project's own official channel, confirming the same address independently from a second source, and checking on a block explorer that the contract is what it claims to be before you trade against it.

  • What Is a Memecoin, and Why Most Lose Their Value

    A memecoin is a token whose price rests on attention rather than on revenue, a product, or a claim on any asset, and the structural reason most end up worthless is that attention is the only thing holding the price up and it always moves on to something else.