The gap between your expected price and your actual fill price. When your order size exceeds the orders resting at the best price, you fill at worse prices, creating slippage. The thinner the liquidity, the larger the order, and the faster the market, the worse it usually is.
Full Explanation+
01 · What is this?
Slippage is the gap between the price you "thought you'd fill at" and your actual fill price. Say you order to buy a coin at 100 but fill on average at 102 — that 2 (2%) is slippage. Its root: each price level holds only limited size, so when your buy size exceeds the orders at the best price, the rest must buy the next batch of pricier orders, and your average fill naturally ends up worse than the first number you saw. It's not a fee but the natural result of insufficient market depth.
02 · Why does it exist?
Slippage comes from the reality of limited liquidity. Each price level on the book holds finite size, so a large order eats through the current level and extends into worse prices. Three factors amplify it: thin liquidity (sparse orders, where even small orders move the price), large order size (relative to market depth), and fast volatility (the price has moved between your order and the fill). On illiquid small coins or small exchanges, these often happen together, making slippage especially severe.
03 · How does it affect your decisions?
Slippage is a hidden but real cost, hitting three groups especially. First, those trading illiquid coins: thin liquidity means even a mid-size order causes notable slippage. Second, those using market orders to chase or panic-sell: in fast markets, market orders often fill far worse than expected. Third, large traders: the bigger the size, the more obvious the slippage. Understand slippage and you grasp why "the price you see" and "the price you pay" often differ, and you start caring about liquidity and order type rather than fixating on a single price number.
04 · What should you do?
There are practical ways to cut slippage. First, use limit orders instead of market orders: a limit order locks the worst price you'll accept and won't be eaten through indefinitely (the cost is it may not fill immediately). Second, split a big order into batches to reduce impact on a single level. Third, trade liquid mainstream markets and exchanges, avoiding sparse small pools. Fourth, avoid market orders in the most violent, jump-prone moments. Fifth, many interfaces have a "slippage tolerance" setting — understand it and set a reasonable cap to avoid filling at absurd prices in extreme moments.
Real-World Example+
Imagine buying 10 bubble teas at a small stall. The owner says "first cup 50," and you assume 10 cups is 500. But he only has 1 cup at 50; cups 2 and 3 rise to 55, and the last few climb to 70 — because "inventory (resting orders)" is limited, the more you buy, the higher the unit price is pushed, ending at an average of 62 per cup. That extra cost is slippage. Buying a large amount in an illiquid market works exactly like this: you snap up the available cheap supply, and the rest fills at pricier levels.
Diagram
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Common Misconceptions+
✕ Misconception 1
× Misconception 1: Slippage is a fee the exchange secretly charges. No. Slippage isn't a fee but the natural result of insufficient market depth — your order eats through the orders in front of it into worse prices. No one collects it; it's the market's real supply-demand at that moment. Fees and slippage are two different costs.
✕ Misconception 2
× Misconception 2: A limit order means zero slippage. A limit order does avoid "filling at a worse price," but at the cost of possibly filling incompletely or not at all (if the price never reaches your level). It trades "fill certainty" for "price certainty" — it doesn't eliminate cost but shifts the risk from price to whether you fill.
The Missing Link+
Direct Impact
The core tool against slippage is the limit order, but it's itself a trade-off: a market order guarantees "it fills," at the cost of uncertain price and possibly heavy slippage; a limit order guarantees "price won't exceed your cap," at the cost of possibly filling incompletely or missing the move. You can't have both "fill immediately" and "price fully controlled" — you choose between them by your need of the moment.
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Beginner
Slippage
滑點
Slippage = the gap between expected and actual fill price
A big order eats through resting orders into worse prices, creating slippage
The thinner the liquidity and the larger the order, the worse it tends to be
Violent volatility also amplifies slippage
Limit orders, splitting orders, and liquid markets reduce it
The Missing Link
Slippage is a hidden but real cost: the price you see and the price you actually fill at are often not the same.