Cryptocurrency • Liquidity & Order Flow • Beginner Level

Slippage

Definition: The difference between the expected execution price of an order and the actual price at which it fills.

Comprehensive Institutional Breakdown

Occurs during high-volatility news releases or when order size exceeds available depth at the top of the book. Always budget for slippage when defining stop invalidation buffers.

Algorithmic Formula / Notation
Slippage = |Execution Price - Quoted Price|
Cross-Market & Execution Note
Common across all volatile markets, but especially pronounced during high-impact crypto liquidation wicks.