What Is Slippage in Trading?
Slippage is the difference between the price a trader expected to get on an order and the price the order actually filled at, caused by market movement, order size, or thin liquidity between the decision to trade and the moment of execution. It is a real, recurring cost that most traders underestimate until they measure it directly.
Formula
Slippage (₹ per unit) = Actual Fill Price − Expected/Order PriceWorked example
A trader places a market buy order on a NIFTY option expecting to fill around ₹152, based on the last traded price. Because the strike is thinly traded near expiry, the order actually fills at ₹158 — a slippage of ₹6 per unit.
On a 75-unit lot size across 3 lots (225 units), that ₹6 of slippage adds up to ₹1,350 of unplanned cost on a single entry alone — before the trade has even moved in either direction.
What's a good number?
There is no universal acceptable slippage figure — it scales with the liquidity of the instrument and the size of the order. Liquid instruments like NIFTY/BANKNIFTY futures or large-cap stocks typically see minimal slippage in normal market conditions.
Illiquid option strikes, small-cap stocks, or trading near expiry and during high-volatility news events can see meaningfully larger slippage. What matters most is tracking your own average slippage as a real cost line item and factoring it into your expectancy calculations, rather than assuming it away.
Common mistakes traders make with slippage
- Using market orders in illiquid instruments during volatile sessions, where the visible price and the actual fill price can differ significantly.
- Not logging the actual fill price against the intended order price, so slippage silently erodes edge without ever being noticed or quantified.
- Ignoring slippage entirely when backtesting a strategy — backtests that assume perfect fills routinely overstate real-world results, sometimes turning a marginal live edge into an apparent strong one on paper.
- Trading right at market open or near option expiry in illiquid strikes, which are consistently the conditions where slippage is worst.
TradeMind logs both your planned entry/exit price and the actual fill price for every trade, making slippage visible per trade and per strategy instead of a hidden cost automatically in your journal.