Slippage

When it happens

• News spikes (NFP, FOMC) — quotes evaporate for milliseconds.
• Session opens / closes — books re-stack.
• Stop-loss cascades — once price hits a heavily-clustered stop level, the next print can be far away.
• Crypto / exotic FX — thin order books, bigger gaps between price levels.

How to control it

• Use limit orders when patient.


• For hard stops, use stop-limit with a bounded slippage band on instruments where partial fills are tolerable.


• Avoid market orders 30 seconds before scheduled high-impact events.


• Trade pairs where typical depth absorbs your size — one rule of thumb: don’t use more than 1% of recent 1-minute volume.

Why it matters more than spread

Spread is a fixed cost; slippage is a random cost concentrated in your worst moments. Backtests that don’t model slippage routinely overstate live performance.