Execution · 8 MIN READ
Slippage, Liquidity, and Order Execution
Understand the difference between an intended price and a real fill, and record execution costs that charts can hide.Why fills differ from plans
Slippage is the difference between the expected price and the actual fill. It can occur in fast markets, thin liquidity, gaps, or when an order consumes several price levels.
Record both planned and actual prices. A strategy with a theoretical edge may underperform when spreads, fees, and slippage are included.
Price certainty versus fill certainty
A limit order controls the worst acceptable price but may not fill. A market order prioritizes execution but can fill at a worse price. Stop orders can also execute beyond the trigger during rapid moves.
Choose the order type based on what matters for the setup, then review whether that choice behaved as expected.
Make execution reviewable
Track venue, session, order type, intended price, actual price, and fees where relevant. Over time, compare slippage by instrument and condition to identify avoidable costs.
Measure the cost hidden between chart and fill
A trader plans to buy 0.5 units at 2,000, but the market order fills at 2,004 and incurs a $2 fee.
- Adverse slippage is 2,004 − 2,000 = $4 per unit.
- For 0.5 units, the price impact is $2.
- Add the $2 fee for a total immediate execution cost of $4.
- Compare this cost with other fills in the same instrument, session, and volatility condition.
The chart may show the intended level, but the journal reveals the actual cost that the strategy must overcome.
Put the idea into your process
- Using a chart candle as the fill price.
- Treating every missed limit order as an execution failure.
- Comparing slippage across instruments without normalizing size or price.
- Omitting partial fills or fees from the final result.
- Record intended and actual price separately.
- Store each partial fill instead of replacing it with a guess.
- Tag the order type and session when execution matters.
- Review cost by instrument and condition, not only in total.
Prompts to use in your journal
- Was the order type appropriate for available liquidity?
- How far did the fill differ from the intended price?
- Was the cost normal for this market and session?
Real instruments may require contract, tick, pip, currency-conversion, tax, or venue-specific adjustments. TradeNarra does not provide investment advice, recommend trades, or promise outcomes.