Slippage
The gap between the price you intended to trade at and the price you actually got. Why it is rarely zero, why it is rarely in your favour, and where it shows up most.
Slippage is the difference between the price you intended to trade at (the price displayed when you clicked, or the level of a triggered stop) and the price you actually got filled at. Slippage is rarely zero, and over a long-enough sample it is rarely in your favour.
Where it comes from
Two situations produce most retail slippage:
- Market orders during fast-moving conditions. A market order says “fill me now at the best available price”. Between the moment your click reaches the broker’s server and the moment the order is matched, the market may have moved. The fill is at the new price, not the one your screen showed when you clicked.
- Stop-loss triggers. A stop order is really a market order in disguise. When price reaches your stop level, the broker fires a market order, and that order is filled wherever the next available liquidity sits. If the price gap is large (a news release, a weekend gap, a flash event), the fill can be meaningfully worse than your stop level.
A third, smaller source is broker latency during high-volume events. The retail platform may not be able to process orders as fast as institutional desks can adjust their quotes. The difference shows up as slippage.
Why it is asymmetric
A consistent finding across retail brokerage data: slippage in the trader’s favour is rare; slippage against the trader is common. This is not a conspiracy. It is a property of how market depth behaves at moments of stress.
When price moves sharply, the bids and offers nearest the current price are consumed first. The remaining liquidity sits at progressively worse prices. By the time your stop order fires and reaches the matching engine, the nearby liquidity is already gone, and your fill walks down (for a sell) or up (for a buy) to whatever level still has resting orders.
The symmetric version (price moves in your favour between click and fill) is rarer because price moves against you are what triggered the stop in the first place. The selection bias is built into the mechanic.
How big it gets
In normal conditions on a major pair, slippage is usually fractions of a pip on market orders, and a handful of pips on stops. In stressed conditions, it scales up dramatically:
- A stop placed below a 30-pip range can fill 50-150 pips lower during a fast news move.
- A weekend gap (Friday close to Sunday open) can be 100+ pips on a major pair following a weekend event.
- A flash event (the 2015 CHF unpeg, the August 2024 yen unwind) can produce slippage in the hundreds or thousands of pips on the affected pairs, sometimes through the broker’s negative-balance protection altogether.
What it implies for risk management
Slippage is a tax on uncertainty. Strategies that depend on getting filled at exactly a stop or exactly a target do not really include the friction the market imposes. Strategies that size positions assuming the worst-case slippage on a stop, not the typical, survive the rare events that produce most of the slippage cost over a career.
Some brokers offer guaranteed stop-loss orders that close at the stop level no matter the conditions, typically for a small per-trade fee or a wider spread on guaranteed-stop accounts. These are worth considering for positions held over weekends or through known event risk, and not particularly worth it for routine intraday trades.
See Trading Costs Explained for the cost framework that includes slippage as one component, and Forex Order Types Explained for the mechanics of the order types most affected by it.