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2121:
189:
To properly understand slippage, let's use the following example: Say, you (as a trader) wanted to purchase 20,000 shares of SPY right now. The problem here is that the current ASK price of $ 151.08 only contains 3900 shares being offered for sale, but you want to purchase 20,000 shares. If you
238:
of the above execution is $ 151.11585. The difference between the current ASK price ($ 151.08) and the average purchase price ($ 151.11585) represents the slippage. In this case, the cost of slippage would be calculated as follows: 20,000 X $ 151.08 - 20,000 X $ 151.11585 = $ -717.00
72:
Knight and
Satchell mention a flow trader needs to consider the effect of executing a large order on the market and to adjust the bid-ask spread accordingly. They calculate the liquidity cost as the difference between the execution price and the initial execution price.
190:
need to purchase those shares now, then you must use a market order and you will incur slippage by doing so. Using a market order to purchase your 20,000 shares would yield the following executions (assuming no hidden orders in the market depth):
317:
value of the position increases. The danger occurs when the trader attempts to exit their position. If the trader manages to create a squeeze large enough then this phenomenon can be profitable. This can also be considered a type of
173:
The top left of the image represents the current BID price ($ 151.07) and the top right of the image represents the current ASK price ($ 151.08). At the $ 151.07 bid price point, there are 300 shares available (200 by the
158:
The left hand side of the image contains the market depth for the current BID prices and the right hand side of the image contains the market depth for the current ASK prices. Each side of the image contains three columns:
34:
is the difference between where the computer signaled the entry and exit for a trade and where actual clients, with actual money, entered and exited the market using the computer's signals.
448:
64:(1997) defines slippage as the difference between the average execution price and the initial midpoint of the bid and the offer for a given quantity to be executed.
230:
Buy 500 @ $ 151.25 (only 500 shares out of the 2000 being offered at this price point are executed, because this will represent our entire 20,000 share order)
1664:
1239:
441:
48:
is often used to reduce slippage, and algorithms can be backtested on past data to see the effects of slippage, but it is impossible to eliminate.
2004:
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1826:
274:
108:
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300:
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155:
The associated image depicts the Level II (Market Depth) quotes of the SPY ETF (Exchange-Traded Fund) at a given instant in time.
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1232:
704:
313:
Reverse slippage, as described by Taleb, occurs when the purchase of a large position is done at increasing prices, so that the
1999:
1644:
278:
112:
698:
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1121:
917:
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1577:
1431:
1225:
907:
875:
779:
733:
716:
669:
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182:). At the $ 151.08 ask price point, there are 3900 shares available (2800 by the ARCA Market Maker and 1100 by the
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692:
686:
403:
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267:
116:
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1940:
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20:
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2009:
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Size: the number of shares at this price level (represented in hundreds). So, 2 actually means 200 shares.
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2019:
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Market Maker). This is typically represented in quote form as: $ 151.07 X 300 by $ 151.08 X 3900).
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39:
16:
Difference between estimated transaction costs and the amount actually paid
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1865:
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990:
626:
834:
1217:
577:
426:
500:
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404:"Measuring Slippage: Make it a Top Priority! – Automated Trading"
19:
This article is about the financial concept. For other uses, see
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80:
334:
Dynamic
Hedging: Managing Vanilla and Exotic Options
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1992:
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357:Forecasting Volatility in the Financial Markets
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8:
42:, and frictional costs may also contribute.
281:. Unsourced material may be challenged and
115:. Unsourced material may be challenged and
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1240:
1226:
1218:
449:
435:
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355:John L. Knight, Stephen Satchell (2003).
301:Learn how and when to remove this message
135:Learn how and when to remove this message
30:as well as other financial instruments,
2065:Power reverse dual-currency note (PRDC)
2005:Constant proportion portfolio insurance
395:
163:MM Name: the Market Maker name column
7:
2000:Collateralized debt obligation (CDO)
279:adding citations to reliable sources
113:adding citations to reliable sources
14:
2119:
705:Electronic communication network
251:
85:
166:Price: the "market depth" price
151:Slippage Example on the SPY ETF
1827:Year-on-year inflation-indexed
332:Taleb, Nassim Nicolas (1997).
1:
1837:Zero-coupon inflation-indexed
699:Multilateral trading facility
68:Using initial execution price
1122:Returns-based style analysis
918:Post-modern portfolio theory
824:Security characteristic line
178:Market Maker and 100 by the
2040:Foreign exchange derivative
1432:Callable bull/bear contract
876:Efficient-market hypothesis
780:Capital asset pricing model
717:Straight-through processing
2168:
693:Alternative Trading System
18:
2114:
1941:Stock market index future
1255:
2060:Mortgage-backed security
2055:Interest rate derivative
2030:Equity-linked note (ELN)
2015:Credit-linked note (CLN)
757:Arbitrage pricing theory
385:Implementation shortfall
2010:Contract for difference
1311:Risk-free interest rate
1036:Initial public offering
897:Modern portfolio theory
792:Dividend discount model
675:List of stock exchanges
57:Using initial mid price
1792:Forward Rate Agreement
924:Random walk hypothesis
236:average purchase price
152:
2020:Credit default option
1364:Employee stock option
1062:Market capitalization
871:Dollar cost averaging
418:"Slippage Definition"
361:Butterworth-Heinemann
338:John Wiley & Sons
150:
62:Nassim Nicholas Taleb
1974:Inflation derivative
1959:Commodity derivative
1931:Single-stock futures
1921:Normal backwardation
1911:Interest rate future
1752:Conditional variance
1258:Derivative (finance)
882:Fundamental analysis
866:Contrarian investing
829:Security market line
734:Liquidity aggregator
711:Direct market access
622:Quantitative analyst
275:improve this section
109:improve this section
2126:Business portal
1979:Property derivative
1127:Reverse stock split
1072:Market manipulation
996:Dual-listed company
856:Algorithmic trading
786:Capital market line
588:Inter-dealer broker
218:Buy 1000 @ $ 151.15
212:Buy 3700 @ $ 151.13
209:Buy 1200 @ $ 151.12
206:Buy 3700 @ $ 151.11
200:Buy 3800 @ $ 151.09
197:Buy 1100 @ $ 151.08
194:Buy 2800 @ $ 151.08
46:Algorithmic trading
1984:Weather derivative
1969:Freight derivative
1951:Exotic derivatives
1871:Commodities future
1558:Intermarket spread
1321:Synthetic position
1249:Derivatives market
1167:Stock market index
1006:Efficient frontier
945:Technical analysis
903:Momentum investing
725:(private exchange)
615:Proprietary trader
557:Shares outstanding
547:Authorised capital
227:Buy 600 @ $ 151.24
224:Buy 100 @ $ 151.22
221:Buy 400 @ $ 151.18
215:Buy 200 @ $ 151.14
203:Buy 900 @ $ 151.10
153:
2134:
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2035:Equity derivative
2025:Credit derivative
1993:Other derivatives
1964:Energy derivative
1926:Perpetual futures
1807:Overnight indexed
1757:Constant maturity
1718:
1717:
1665:Finite difference
1598:Protective option
1215:
1214:
1016:Flight-to-quality
768:Buffett indicator
458:Financial markets
370:978-0-7506-5515-6
347:978-0-471-15280-4
311:
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303:
145:
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28:futures contracts
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2124:
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1896:Forwards pricing
1670:Garman–Kohlhagen
1271:
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1219:
1132:Share repurchase
844:Trading theories
729:Crossing network
687:Over-the-counter
524:Restricted stock
480:Secondary market
451:
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437:
428:
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421:
414:
408:
407:
406:. 30 April 2014.
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243:Reverse slippage
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2152:Futures markets
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2096:Great Recession
2091:Government debt
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2045:Fund derivative
1988:
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1906:Futures pricing
1881:Dividend future
1876:Currency future
1859:
1841:
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1690:Put–call parity
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1613:Vertical spread
1548:Diagonal spread
1518:Calendar spread
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1335:
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1216:
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1202:Voting interest
1112:Public offering
1047:Mandatory offer
1021:Government bond
1001:DuPont analysis
964:
960:Value investing
955:Value averaging
950:Trend following
935:Style investing
930:Sector rotation
845:
839:
818:Net asset value
744:Stock valuation
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519:Preferred stock
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326:Further reading
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26:With regard to
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2101:Municipal debt
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1886:Forward market
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1767:Credit default
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1563:Iron butterfly
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1533:Covered option
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1471:Mountain range
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1162:Stock exchange
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1157:Stock dilution
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1082:Mean reversion
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1057:Market anomaly
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976:Bid–ask spread
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689:(off-exchange)
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663:Trading venues
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529:Tracking stock
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475:Primary market
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315:mark to market
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2:
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2081:Consumer debt
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2074:Market issues
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2050:Fund of funds
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1891:Forward price
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1802:Interest rate
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1698:
1696:
1695:MC Simulation
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1678:
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1656:
1655:Black–Scholes
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1609:
1608:Risk reversal
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1539:
1538:Credit spread
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1468:
1465:
1463:
1462:Interest rate
1460:
1458:
1457:Forward start
1455:
1453:
1450:
1448:
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1443:
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1438:
1435:
1433:
1430:
1428:
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1418:
1415:
1413:
1410:
1409:
1407:
1405:
1401:
1395:
1392:
1390:
1387:
1385:
1384:Option styles
1382:
1380:
1377:
1375:
1372:
1370:
1367:
1365:
1362:
1360:
1357:
1355:
1352:
1350:
1347:
1346:
1344:
1342:
1338:
1332:
1329:
1327:
1324:
1322:
1319:
1317:
1314:
1312:
1309:
1307:
1304:
1302:
1301:Open interest
1299:
1297:
1294:
1292:
1289:
1287:
1284:
1282:
1281:Delta neutral
1279:
1278:
1276:
1272:
1269:
1267:
1263:
1259:
1254:
1250:
1243:
1238:
1236:
1231:
1229:
1224:
1223:
1220:
1208:
1205:
1203:
1200:
1198:
1195:
1193:
1190:
1188:
1185:
1183:
1180:
1178:
1175:
1173:
1170:
1168:
1165:
1163:
1160:
1158:
1155:
1153:
1150:
1148:
1145:
1143:
1140:
1138:
1137:Short selling
1135:
1133:
1130:
1128:
1125:
1123:
1120:
1118:
1115:
1113:
1110:
1108:
1105:
1103:
1100:
1098:
1095:
1093:
1090:
1088:
1085:
1083:
1080:
1078:
1075:
1073:
1070:
1068:
1065:
1063:
1060:
1058:
1055:
1053:
1050:
1048:
1045:
1043:
1040:
1037:
1034:
1032:
1029:
1027:
1026:Greenspan put
1024:
1022:
1019:
1017:
1014:
1012:
1011:Financial law
1009:
1007:
1004:
1002:
999:
997:
994:
992:
989:
987:
986:Cross listing
984:
982:
979:
977:
974:
973:
971:
969:Related terms
967:
961:
958:
956:
953:
951:
948:
946:
943:
941:
940:Swing trading
938:
936:
933:
931:
928:
925:
922:
919:
916:
914:
911:
909:
908:Mosaic theory
906:
904:
901:
898:
895:
893:
892:Market timing
890:
888:
885:
883:
880:
877:
874:
872:
869:
867:
864:
862:
859:
857:
854:
853:
851:
849:
842:
836:
833:
830:
827:
825:
822:
819:
816:
814:
811:
809:
806:
804:
801:
799:
796:
793:
790:
787:
784:
781:
778:
775:
772:
769:
766:
764:
761:
758:
755:
753:
750:
749:
747:
745:
741:
735:
732:
730:
727:
724:
721:
718:
715:
712:
709:
706:
703:
700:
697:
694:
691:
688:
685:
681:
680:Trading hours
678:
676:
673:
672:
671:
668:
667:
665:
661:
655:
652:
648:
645:
644:
643:
640:
638:
635:
633:
630:
628:
625:
623:
620:
616:
613:
611:
608:
607:
606:
603:
601:
598:
596:
595:Broker-dealer
593:
589:
586:
584:
581:
580:
579:
576:
575:
573:
569:
563:
560:
558:
555:
553:
552:Issued shares
550:
548:
545:
544:
542:
540:
539:Share capital
536:
530:
527:
525:
522:
520:
517:
515:
512:
510:
507:
506:
504:
502:
497:
491:
490:Fourth market
488:
486:
483:
481:
478:
476:
473:
472:
470:
468:
463:
459:
452:
447:
445:
440:
438:
433:
432:
429:
419:
413:
410:
405:
399:
396:
390:
386:
383:
382:
378:
372:
366:
362:
358:
353:
349:
343:
339:
335:
330:
329:
325:
323:
321:
320:market making
316:
305:
302:
294:
284:
280:
276:
270:
269:
265:
260:This section
258:
254:
249:
248:
242:
240:
237:
229:
226:
223:
220:
217:
214:
211:
208:
205:
202:
199:
196:
193:
192:
191:
187:
185:
181:
177:
168:
165:
162:
161:
160:
156:
149:
139:
136:
128:
118:
114:
110:
104:
103:
99:
94:This section
92:
88:
83:
82:
76:
74:
67:
65:
63:
56:
51:
49:
47:
43:
41:
37:
36:Market impact
33:
29:
22:
2147:Stock market
1935:
1901:Forward rate
1812:Total return
1700:Real options
1603:Ratio spread
1583:Naked option
1543:Debit spread
1374:Fixed income
1316:Strike price
1187:Tender offer
1141:
1107:Public float
1077:Market trend
1067:Market depth
887:Growth stock
861:Buy and hold
770:(Cap-to-GDP)
610:Floor trader
600:Market maker
583:Floor broker
571:Participants
514:Golden share
509:Common stock
485:Third market
412:
398:
356:
336:. New York:
333:
312:
297:
288:
273:Please help
261:
233:
188:
172:
157:
154:
131:
122:
107:Please help
95:
71:
60:
44:
31:
25:
1832:Zero Coupon
1762:Correlation
1710:Vanna–Volga
1568:Iron condor
1354:Bond option
1192:Uptick rule
1172:Stock split
1152:Squeeze-out
1147:Speculation
1092:Open outcry
981:Block trade
913:Pairs trade
52:Measurement
2141:Categories
2106:Tax policy
1822:Volatility
1732:Amortising
1573:Jelly roll
1508:Box spread
1503:Backspread
1495:Strategies
1331:Volatility
1326:the Greeks
1291:Expiration
1197:Volatility
1177:Stock swap
1097:Order book
848:strategies
774:Book value
642:Arbitrager
637:Speculator
391:References
1797:Inflation
1747:Commodity
1705:Trinomial
1640:Bachelier
1632:Valuation
1513:Butterfly
1447:Commodore
1296:Moneyness
813:Fed model
808:EV/EBITDA
723:Dark pool
654:Regulator
499:Types of
465:Types of
262:does not
96:does not
40:liquidity
1936:Slippage
1866:Contango
1850:Forwards
1817:Variance
1777:Dividend
1772:Currency
1685:Margrabe
1680:Lattices
1659:equation
1645:Binomial
1593:Strangle
1588:Straddle
1485:Swaption
1467:Lookback
1452:Compound
1394:Warrants
1369:European
1349:American
1341:Vanillas
1306:Pin risk
1286:Exercise
1142:Slippage
1102:Position
1087:Momentum
991:Dividend
670:Exchange
627:Investor
379:See also
291:May 2021
180:DRCTEDGE
125:May 2021
32:slippage
21:Slippage
1855:Futures
1475:Rainbow
1442:Cliquet
1437:Chooser
1417:Barrier
1404:Exotics
1266:Options
1031:Haircut
835:T-model
647:Scalper
467:markets
283:removed
268:sources
117:removed
102:sources
77:Example
1916:Margin
1782:Equity
1675:Heston
1578:Ladder
1528:Condor
1523:Collar
1480:Spread
1427:Binary
1422:Basket
1052:Margin
920:(PMPT)
782:(CAPM)
632:Hedger
605:Trader
578:Broker
501:stocks
367:
344:
1787:Forex
1742:Basis
1737:Asset
1724:Swaps
1650:Black
1553:Fence
1412:Asian
1274:Terms
1207:Yield
1182:Trade
1117:Rally
1038:(IPO)
926:(RMH)
899:(MPT)
878:(EMH)
831:(SML)
820:(NAV)
794:(DDM)
788:(CML)
759:(APT)
752:Alpha
719:(STP)
713:(DMA)
707:(ECN)
701:(MTF)
695:(ATS)
1621:Bull
1617:Bear
1359:Call
1042:Long
846:and
776:(BV)
763:Beta
365:ISBN
342:ISBN
266:any
264:cite
234:The
184:BATS
176:ARCA
100:any
98:cite
1389:Put
277:by
111:by
2143::
1619:,
1379:FX
363:.
359:.
340:.
322:.
38:,
1661:)
1657:(
1623:)
1615:(
1241:e
1234:t
1227:v
450:e
443:t
436:v
420:.
373:.
350:.
304:)
298:(
293:)
289:(
285:.
271:.
138:)
132:(
127:)
123:(
119:.
105:.
23:.
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