Slippage
The difference between the price your model assumed and the price you actually got.
What it means
You decided at $10.00; you filled at $10.03. Those three cents are slippage — the sum of spread crossing, queue position, latency and impact. Per trade it looks trivial; multiplied by hundreds of trades it decides whether a thin edge exists at all.
Slippage scales with urgency and size and spikes exactly when signals cluster — fast moves, opens, halts. A realistic cost model per time-of-day is part of the strategy's math, not an afterthought: an edge smaller than its round-trip cost is a losing system with good marketing.
Why traders care
- The main reason paper results exceed live results.
- Cost-aware backtests kill fantasy edges before they trade.
Related terms
Educational content, not investment advice. Engine details describe how TraderWe computes this value; other platforms may define it differently.