What slippage actually measures

Every order carries an expectation. You see a price, you act on it, and somewhere between your click and the market a small gap can open. That gap is slippage, and it is one of the most misunderstood numbers in trading because it is usually discussed as though it were a fault rather than a mechanic.

Where the gap comes from

A quoted price is a snapshot of what someone was willing to trade at a moment that has already passed. Between that moment and the moment your order reaches a venue, the book can move. Nothing has gone wrong when it does; the market simply did not wait.

• The time your order spends travelling to the venue
• How much size is resting at the price you wanted
• Whether news has just landed and widened the book

Why it is worth measuring properly

Averaged over one order, slippage is noise. Averaged over thousands, it is a description of how a broker routes and how a venue behaves under pressure. That is the number worth watching, and it is the reason execution quality is reported as a distribution rather than a single figure.

The useful question is not whether slippage happened. It is whether it happened symmetrically.