Slippage Cost Calculator

Trading slippage is the difference between the price you expected to execute at and the price you actually received. It occurs because markets move between the time an order is placed and when it is filled, and because large orders consume available liquidity at the quoted price.

Slippage cost formula: Slippage Cost = (Expected Price − Actual Fill Price) × Number of Shares/Contracts

For percentage slippage: Slippage % = |Expected Price − Actual Fill Price| ÷ Expected Price × 100

Round-trip slippage (entry + exit): Total Slippage = Entry Slippage Cost + Exit Slippage Cost

Bid-ask spread component: The minimum slippage on any trade is half the bid-ask spread — you buy at the ask and sell at the bid. Spread Cost = (Ask − Bid) × Shares (for a full round-trip, the spread is the minimum round-trip slippage)

What each variable means:

• Market order — executes immediately at the best available price; highest slippage risk in volatile or illiquid markets
• Limit order — executes only at the specified price or better; zero slippage risk, but may not fill
• Liquidity — the daily trading volume and order book depth. Illiquid stocks or options can have slippage of 0.5–2% per trade.
• Volatility — high-volatility periods (earnings releases, economic data) cause larger price moves between order submission and fill

Typical slippage by asset class (market orders):

• Large-cap US stocks (Apple, Microsoft): 0.01–0.05% per trade
• Small-cap US stocks: 0.10–0.50%
• US stock options (liquid): 0.10–0.30% of option premium
• Forex (major pairs): 0–0.5 pip (nearly zero for liquid pairs)
• Futures (ES, NQ): 0.25 tick per trade
• Crypto (Bitcoin/Ethereum): 0.05–0.20%

Worked example: You place a market buy order for 500 shares of a mid-cap stock. Quoted ask: $42.50. Actual fill: $42.68.

Entry slippage = ($42.68 − $42.50) × 500 = $0.18 × 500 = $90.00 Exit (market sell, reversed): $42.50 target, actual fill $42.32 = $0.18 × 500 = $90.00 Round-trip slippage = $180.00 As percentage of trade value (500 × $42.50 = $21,250): $180 ÷ $21,250 = 0.847%

At 100 round-trip trades/year: $180 × 100 = $18,000/year lost to slippage alone — before commissions. This is why high-frequency strategies fail at retail speed, and why limit orders are essential for discretionary traders.