Microstructure · Core
Slippage
Slippage is the difference between the decision or arrival price and the average fill — impact, delay, and spread in one number.
Definition
Arrival slippage = fill − arrival (sign by side). It includes spread, impact, and drift while you work the order. Predicted slippage is the cost model; realized is the score. A limit that never fills has infinite slippage on the unfilled residual if the thesis moved.
Why it matters
Capacity and live Sharpe die here. A 20bp backtest edge with 25bp slippage is a hobby.
Case
A momentum sleeve that backtested on close-to-close ignored that the signal is known at 15:50 and the close is the crowd. Live slippage ate the paper.
How to read it
Measure vs arrival and vs interval VWAP. Split delay, spread, and impact. If you cannot, you do not have a cost model.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.