Slippage
Also called: execution slippage
The difference between the price you expected on an order and the price it actually filled at.
Definition
Slippage happens when the market moves between the moment your order is sent and the moment it’s executed. It can be negative (filled worse than expected) or positive (filled better — yes, that’s possible).
Slippage is largest on market orders during news, weekend gaps, and in illiquid pairs. Limit orders eliminate negative slippage by design, but introduce fill risk instead.
Example
You click Buy EUR/USD at 1.0800 (market). Between the click and the fill, the ask jumps to 1.0803. You're filled at 1.0803 — 3 pips of negative slippage.
Formula
Slippage = fill price − expected price
Why it matters
Backtests almost always under-estimate slippage. Add a realistic slippage assumption (typically 0.5–2 pips for majors, more for exotics) to forward-test EAs.
FAQs
Can slippage be positive?
Yes — at ECN brokers and during favourable price moves. Many brokers, however, only pass on negative slippage and pocket the positive.