Slippage
The difference between the price you expected to fill at and the price you actually got — usually worse than expected, especially in fast moves.
Slippage is the price difference between when you submit an order and when it executes. On a market order, slippage happens because the price you saw on the screen is no longer available by the time your order reaches the exchange. On a stop order, slippage happens because the stop triggers a market order which then fills at whatever the next available price is.
Slippage is biggest on fast-moving instruments (NQ, CL on news), at session opens, and during liquidity gaps. It's why prop traders set safety buffers 20–30% inside firm rules — when you flatten near a hard limit, slippage can push you over.
Example
- Stop loss at 4498.00 on ES. Fast move down. Stop triggers when bid crosses 4498.00 but the next available bid is 4497.50. Slippage: 2 ticks = $25 worse than expected.
Related terms
- Market order
An order to buy or sell immediately at the best available price — guaranteed fill, no guarantee on price.
- Stop order
An order that becomes a market order once a trigger price is hit — most commonly used to limit losses on an open position.
- Auto flatten
An automated trigger that closes all open positions and cancels working orders when a defined risk condition fires.
- Drawdown buffer (safety buffer)
A self-imposed limit inside the firm's actual limit — your guardrail before the firm's guardrail.