FuturesHUB / Slippage
Perpetual futures
Slippage
Slippage is the part of the cost that does not appear in the fee table. It is the gap between the screenshot you sized against and the average price on the fill report.
Where it comes from
A market order buys the ask and then the levels behind it, or sells the bid and then the levels below it. The average fill is worse than the mid by half the spread plus the impact of your size. A limit that rests pays no slippage and may never fill. A limit that crosses pays the same impact as a market order up to its limit.
Stops add a second gap. The trigger can fire on a print, and the market order that follows can fill further through because the book has already moved. Size the stop distance to a plausible fill, not to the trigger digit.
How to see it before you click
Read the book for your size. The price that completes your quantity is the impact price. The distance from mid to that price, in percent, is the slippage estimate for a market order right now. It is larger at the open of a volatile hour and larger on contracts with a thin book.
Impact prices also feed the premium index. The same idea that keeps one-lot wicks out of the funding rate tells you what your own size will do. If the impact price for your size is far from mid, you are the wide part of the book.
Writing it into the cost stack
Add entry slippage and exit slippage to the fee and the funding. A 0.05% taker fee looks small next to a 0.30% average slip on the way in and again on the way out. The round trip is then 0.10% of fees plus 0.60% of slippage, before funding.
After the fill, subtract the planned price from the average fill and divide by the planned price. That realized slippage replaces the estimate in the journal. Over a series of trades it is the number that tells you whether market orders fit this contract.
On the ticket
- Before a market order, find the price level that completes your size. Record its distance from the mid.
- Add that percent to the stop distance when you size the position, so the risk budget includes a realistic fill.
- Prefer a resting limit when the distance is larger than the trading fee and you can tolerate a miss.
- After the fill, record average fill versus plan. Keep the series. It is your slippage, not a generic constant.
Questions
Is the spread the same as slippage?
The spread is the gap between bid and ask. Slippage is how far your average fill lands from the price you planned, which includes the spread and the depth you consumed.
Do limit orders have slippage?
A limit that rests fills at your price or better. A limit that crosses the book slips up to its limit, the same way a market order does, and then stops.