What is Slippage?
Slippage is the difference between the price you intended and the price you received. It rises in fast markets and thin books.
Formula
Market Order Slippage: Your Intent: Buy 1,000 shares at ₹500 (current price) Order Book Reality: 500 shares available at ₹500 300 shares available at ₹501 200 shares available at ₹502 Your Execution: 500 @ ₹500 = ₹2,50,000 300 @ ₹501 = ₹1,50,300 200 @ ₹502 = ₹1,00,400 Total: ₹5,00,700 Expected: ₹5,00,000 Actual: ₹5,00,700 Slippage: ₹700 (0.14%)
Indian market context (NSE)
Reference levels: Nifty 50 at 24,300, Reliance Industries at ₹1,300, Bank Nifty futures at 55,000 (lot size 30). Examples below show how Slippage shows up on Indian index, equity, and futures books — update to live quotes in your journal.
Nifty 50 perspective
Market order to buy Nifty futures at 24,300 during 9:20 volatility might fill at 24,308 — 8 points × lot 25 = ₹200 slippage per lot.
Bank Nifty futures perspective
Bank Nifty stop triggered at 54,900 in fast drop can fill 15–30 points worse — stress-test stops away from round numbers like 55,000.
How to validate
- Validate Slippage fills against broker contract notes monthly.
- Measure median slippage in points/₹ for Slippage on Bank Nifty vs mid-caps.
- Flag sessions with abnormal rejections or partial fills for separate review.
- Compare limit vs market tags only on symbols with similar liquidity.
How to track in TradeLyser
- Record order type, limit price, fill price, and latency on the trade.
- Tag “slippage > plan” when Slippage fills worse than expected.
- Monthly slippage report by symbol and order type in analytics.
- Reconcile with broker order log quarterly.
Best practices
- Choose Slippage before the move, not after FOMO entry.
- Default to limits on illiquid mid-caps; markets on urgent exits only.
- Log rejected orders — they reveal unrealistic limit discipline.
- Review slippage in R-multiples, not only rupees.
Common pitfalls
- Chasing with market orders after Slippage already moved.
- Using limits on fast Bank Nifty breaks without timeout rules.
- Not recording partial fills — skews performance stats.
- Assuming broker fills match intended Slippage every time.
How to use this in TradeLyser
Log intended vs fill on every market entry. Monthly median slippage per symbol and order type.
Related terms
The bid-ask spread is the difference between the best bid and best ask. Wider spreads tax market orders and fast entries.
A limit order sets the worst price you accept. Buy limits fill at or below your price; sell limits fill at or above.
Liquidity describes depth and ease of entering/exiting at stable prices. Nifty top names differ sharply from illiquid small caps.
A market order matches the best available liquidity now. You accept slippage in exchange for certainty of fill.
FAQ
What is slippage in trading?
Slippage is when your order fills at a different price than expected. If you place a market buy at ₹100 but get filled at ₹101, that's ₹1 slippage. It happens because prices move between order placement and execution.
Why does slippage happen?
Slippage occurs due to market volatility, low liquidity, large order size, or fast-moving prices. By the time your order reaches the exchange and finds a match, the price may have changed.
Is slippage always negative?
No. Positive slippage happens too—you might buy at ₹99 instead of expected ₹100. But negative slippage is more common because you're usually trying to buy rising stocks or sell falling ones.
How can I avoid slippage?
Use limit orders (guaranteed price), trade liquid stocks (tight spreads), avoid volatile periods, and size positions appropriately. You can't eliminate slippage entirely but can minimize it.
Does slippage affect stop losses?
Yes, especially stop market orders. In fast markets, your stop at ₹95 might fill at ₹93 due to slippage. Stop limit orders control price but might not fill at all.
Start journaling with
TradeLyser
Connect your broker, tag strategies, and review performance with AI-assisted insights.