Slippage in crypto trading

Where slippage comes from

An order book holds limited quantity at each price. A market order takes the best price first, then the next, and so on until it is filled. The larger the order relative to the quantity resting near the top of the book, the further it walks and the worse its average price.

Slippage also occurs when the market moves between the moment you send an order and the moment it reaches the matching engine. This is most visible during sharp moves, when stop orders trigger together.

Spread is the first part of it

The spread is the gap between the best bid and the best ask. A market order pays it immediately: you buy at the ask and could only sell back at the bid. On liquid contracts the spread is small; on thin ones it can be larger than the fee.

Estimating it before you trade

Look at the order book depth and add up the quantity available down to the size of your order. The average of those prices against the mid price is your expected slippage. Many exchanges show an estimated fill price on the order ticket for market orders.

Reducing it

The methods all trade certainty of execution for a better price.

• Use limit orders, which cannot fill worse than their price.
• Split a large order into smaller ones over time.
• Trade the most liquid contract for the asset.
• Avoid market orders around major news and thin trading hours.

What AffMiss does and does not measure

AffMiss compares published trading fees. It has not measured slippage on any exchange, because that requires funded orders, and it does not rank exchanges on it. A lower fee on a thinner book can cost more overall.

Where to go next

Common questions