How to calculate slippage
Slippage % = |Fill price − Expected price| ÷ Expected price × 100
Cost = (Fill − Expected) × Quantity (buy) | (Expected − Fill) × Quantity (sell)
Worked example
- You expect to buy at 100.00 and get filled at 100.18.
- Slippage = 0.18 ÷ 100 = 0.18% (18 basis points).
- On 500 shares: $90 lost to slippage.
How to interpret slippage
Slippage is negative when you get a worse price and positive (price improvement) when you get a better one. It's largest for market and stop orders in fast or illiquid markets. Small amounts matter: 0.1% slippage on both entry and exit is 0.2% per round trip — often more than the commission.
Limitations and common mistakes
- Record slippage on stop-loss exits separately: it is usually larger, and it makes real losses bigger than −1R.
- Use limit orders where possible, and avoid trading around major news releases if you're slippage-sensitive.