Slippage
The difference between the expected price of a trade and the actual price at which it is executed.
Explained Simply
Slippage occurs when the market moves between the time you place an order and when it gets filled. If you submit a market order to buy at $50.00 but get filled at $50.08, you experienced $0.08 of slippage. Slippage is most common during high volatility, fast-moving markets, large orders relative to available liquidity, and around major news events. It can work in your favor (positive slippage) or against you (negative slippage), but on average it tends to cost traders money. Limit orders can prevent slippage but risk not getting filled at all. Slippage is one of the key reasons why backtested strategies often perform worse in live trading — backtests typically assume perfect fills at the quoted price.
How Tradewink Uses Slippage
Tradewink's PositionSizer includes a slippage model that estimates expected slippage based on the stock's average spread, current volatility, and order size relative to average volume. This cost is deducted from the expected profit calculation before sizing the position. The SmartExecutor minimizes slippage by using VWAP and TWAP algorithms to slice large orders into smaller pieces, reducing market impact.
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See Slippage in action
Tradewink uses slippage as part of its AI trading signal pipeline. Start getting signals that use this concept to find real opportunities.