Slippage in Trading, Explained: What Causes It, How to Reduce It, and What We Measured on 61 Real Market Orders

Slippage is the difference between the price you expected when you sent an order and the price you actually got. Send a market order to buy a stock quoted at $50.00 and get filled at $50.04, and you paid four cents a share of slippage, about 8 basis points. It is not a fee and it does not appear on any statement, which is why most traders underestimate it. It comes from the bid-ask spread, from how much stock is available at each price, and from how far the price moves in the fraction of a second between your click and the exchange.

This guide explains where slippage comes from, how to measure it, how to reduce it, and how much of it to assume in a backtest. It also includes a number we have not seen published for retail accounts anywhere: the slippage on 61 real market orders placed by our members' automated accounts, measured against the broker's quote one second before each order. The short version is that slippage on liquid stocks is close to zero most of the time, and the tail, not the average, is what costs you.

Why the price you see is not the price you get

The number on your screen is usually the last trade or the midpoint between the best bid and the best offer. A market order does not trade at either. A market buy takes whatever shares are offered, starting at the lowest offer and walking up the book if your order is bigger than what is available at that price. The SEC's own description of a market order says it plainly: it executes immediately, but the price is not guaranteed. Four things decide how far the fill lands from the quote:

• The spread. If a stock is bid $49.99 and offered $50.01, a market buy fills at $50.01 at best, one cent above the midpoint. On a liquid large-cap the spread is a penny; on a thinly traded small-cap it can be 20 or 30 cents, and every market order pays half of it on the way in and half on the way out.
• Depth. The offer at $50.01 might be for 200 shares. If you are buying 1,000, the remaining 800 fill at $50.02, $50.03 and whatever is next. Size relative to what is sitting on the book is what turns a one-cent spread into a ten-cent fill.
• Latency and movement. Between the quote your platform read and the moment your order reaches the market, the price can move. In normal conditions that is milliseconds and a fraction of a cent. During a news release, the open, or a halt reopening, it can be dollars.
• Gaps. A stop-loss becomes a market order when it triggers. If the stock gaps through your stop at the open, the order fills at the open price, not the stop price. That is slippage too, and it is the largest kind most traders ever experience. Automated stops limit the damage on an ordinary day, not on a gap.

Slippage can also be in your favor. A market buy that fills below the quote, because an offer improved or a market maker filled you inside the spread, is negative slippage, often called price improvement. Brokers are required by FINRA Rule 5310 to seek the most favorable terms reasonably available for your order, and the monthly execution-quality reports required by SEC Rule 605 exist to let anyone check how often that happens. For small retail orders in liquid stocks, fills inside the spread are common. FINRA is in the middle of modernizing that best-execution guidance, with a comment request published July 24, 2026, so the standard itself is live territory.

What we measured: 61 real market orders

JorgAI's auto-trader reads the broker's live quote, decides, and sends a market order, usually within a second. Because we store the quote it acted on and the fill it received, we can measure slippage directly instead of estimating it. Across every live stock market order our members' accounts have placed to date, 61 buys at Charles Schwab with a median order size of about $555, filled a median of one second after the quote was read:

• Median slippage: 0.0 basis points. Half the orders filled at or below the quote, half at or above. 49% filled above the quote, 8% filled exactly at it, and the rest filled below it.
• Average slippage: minus 11.7 basis points, meaning the average fill was slightly better than the quote. That average is pulled down by a handful of orders that filled well below the quote in fast-moving names, so do not plan on it.
• The tail is the cost. One order in four paid more than 6 basis points, and one in ten paid more than 35 basis points. On a $5,000 order, 35 basis points is $17.50, more than most commissions ever were.
• Price matters more than anything else. Orders in stocks under $10 paid a median of 33 basis points, because a one-cent spread on a $6 stock is already 17 basis points. Stocks between $10 and $50 paid a median of zero, $50 to $200 filled a median of 3.5 basis points below the quote, and stocks above $200 paid a median of 1.4 basis points. Eleven of the 61 orders were in sub-$10 names, and they account for most of the bad tail.
• The first hour is noisier, not worse on average. The 20 orders placed in the first hour after the open had a median of 2.3 basis points of price improvement but by far the widest spread of outcomes, in both directions. The 38 midday orders clustered tightly around 2 basis points of cost.

For comparison, 159 orders in paper accounts, which Alpaca fills against its simulated book, showed a median of 1 basis point and a 90th percentile of 21.5 basis points. Paper fills are a little kinder than real ones in the tail, which matters when you backtest or paper-test a strategy and then wonder why live results are thinner.

Two honest caveats. Sixty-one orders is a small sample from one broker, and these are small orders in mostly liquid stocks, which is the best case for slippage. A 5,000-share order in a $4 stock would tell a very different story. We will update these figures as the sample grows.

How to measure your own slippage

You do not need our data; you need your own. For each filled order, write down the quote you saw when you sent it (the midpoint or the offer, be consistent) and the average fill price on the confirmation. Slippage in basis points is the difference divided by the quote, times 10,000. Buys above the quote and sells below it are positive, meaning they cost you. Do this for 30 orders and you will know three things most traders never learn: your typical cost, your worst-case cost, and which symbols or times of day produce it.

The number to watch is not the average. It is the 90th percentile and what those orders had in common. In our data the answer was cheap stocks and the opening minutes. In yours it may be a particular ticker, a particular order size, or the habit of hitting the market order button inside the first thirty seconds after a headline.

How to reduce slippage

• Use a limit order when the price matters more than the fill. A buy limit at the current offer, sometimes called a marketable limit, fills immediately in a normal market and cannot fill higher. The trade-off, covered in our market-versus-limit guide, is that in a fast market you may not get filled at all.
• Trade liquid names, or trade small in illiquid ones. Keep your order under about 1% of a stock's average daily volume and you will rarely move the price. Reading volume before you size the order is the whole trick.
• Avoid the first and last minutes. Spreads are widest at 9:30 and in the closing auction imbalance. The best times of day to trade for slippage are roughly 10:00 to 11:30 and 1:30 to 3:30 Eastern.
• Stay out of extended hours unless you must. Pre-market and after-hours spreads are several times wider and depth is thin. The SEC's bulletin on extended-hours trading lists this as the first risk, and our own guide explains how to use limits if you do trade then.
• Mind the price of the stock, not just the spread. A one-cent spread is 1 basis point on a $100 stock and 20 basis points on a $5 stock. The cheap stock is five to twenty times more expensive to trade for the same dollar amount, which is one of the quiet reasons small accounts struggle: they are pushed toward exactly the names where slippage is worst.
• Do not send market orders into news. Earnings, Fed statements and economic releases are when spreads blow out and depth disappears. Either wait a few minutes or use a limit with room.

How much slippage to assume in a backtest

A backtest with zero slippage is a story, not a test. The honest assumption depends on what you trade. For small orders in liquid stocks above $20, our data supports 1 to 5 basis points per side as a central estimate, with the occasional 30-plus basis point fill. For stocks under $10, assume 25 to 50 basis points per side. For anything traded at the open or around news, double it. Then look at whether the strategy still has an edge. A system that makes 10 basis points a trade on paper and pays 5 each way in slippage makes nothing, and that arithmetic kills more high-frequency retail strategies than bad signals do. If you want a benchmark, model a round trip at 10 basis points for liquid names and 60 for cheap ones and see what survives.

Crypto slippage and "slippage tolerance"

The mechanics are the same in crypto, with wider spreads on everything except the largest pairs and a 24-hour market with thin overnight depth. Decentralized exchanges add a setting called slippage tolerance, the maximum percentage worse than the quoted price you will accept before the transaction reverts; it exists because a swap executes against a pool whose price moves with every trade in the block. A tolerance of 0.5% to 1% is normal for liquid pairs; a setting of 5% or more is an invitation to be front-run. On centralized exchanges and at brokers that offer crypto, a limit order does the same job. Our own crypto sample is too small to report yet.

Slippage is one of the costs an automated system should be built around rather than discovered after the fact: trade in liquid names, size against volume, skip the open and the news, and measure every fill. If you would rather have those rules enforced in your own brokerage account, that is what JorgAI does. You can set it up in a few minutes and watch your own fills before you trust it with size.

Quick answers

What is slippage in trading? The difference between the price you expected when you placed an order and the price it filled at. Buy fills above the quote and sell fills below it are slippage against you; fills inside the quote are price improvement.

Is slippage a fee? No. It is not charged by anyone and does not appear on a statement. It is the cost of taking liquidity at whatever price is available, and it shows up only when you compare fills with quotes.

How much slippage is normal? On 61 real market orders in our members' accounts, the median was zero basis points, one in four paid more than 6 basis points, and one in ten paid more than 35. Stocks under $10 had a median of 33 basis points; stocks above $200 had a median of about 1.

How do I avoid slippage? Use limit orders when the price matters more than the fill, trade liquid stocks, keep orders small relative to daily volume, avoid the opening minutes, extended hours and news releases, and prefer higher-priced stocks where a penny spread is a smaller percentage.

Does slippage happen with limit orders? Not against you. A limit order cannot fill at a worse price than the limit. The cost of a limit order is the risk of not filling, or filling only partially, when the market moves away.

Why did my stop-loss fill so far below my stop price? A stop becomes a market order when triggered. If the stock gapped through the stop price, the market order filled at the next available price, which can be far below it. That is slippage from a gap, and only a stop-limit order avoids it, at the cost of possibly not filling.

Data: 61 live stock market buys and 159 paper buys placed by JorgAI members' automated accounts through October 12, 2026, each compared with the broker quote read at signal time (median one second before the fill). Slippage in basis points = (fill minus quote) divided by quote, times 10,000; positive means the fill cost more than the quote. Small sample, one live broker; figures will be updated as it grows. This article is education, not investment advice.