Markets & trading
Slippage is the difference between a reference price and the price actually achieved, under a stated sign convention. It reflects market movement, spread, depth, latency and order design.
Make it click
A displayed shelf price applies to limited stock. By the time a larger order reaches the till, later units may come from a dearer shelf.
Now put that into markets
Orders travel, queue and consume liquidity while markets change. Implementation analysis compares fills with a timestamped benchmark such as arrival price.
Spread cost and market impact are related but distinct. Positive or negative slippage depends on side and convention, so labels must be explicit.
Use quantity-weighted fills and a benchmark available before execution. Segment by instrument, size, urgency and market conditions.
Choosing the benchmark after seeing the trade can flatter execution. One favourable fill does not show a repeatable advantage.
Takeaway
