Slippage

Slippage is the gap between the price you expected and the price you got. You click buy at 100, the fill comes at 100.40, and the 0.40 is slippage. It happens on entries, on exits and most of all on stop-loss orders. It can occasionally work in your favour, but over many trades it is a cost.

It has two causes. One is speed: price moves between your decision and the order reaching the exchange. The other is depth: there is not enough quantity at the best price, so a market order eats into the next levels of the order book. Wide bid-ask spreads make both worse.

In Indian markets, Nifty and Bank Nifty futures are liquid and usually slip little in normal conditions. Far out-of-the-money options, low-volume stock futures and some MCX contracts outside the evening session are another matter. Slippage also jumps in the first minutes after 9:15 am, around major data releases, and whenever price gaps through a stop-loss.

The common mistake is ignoring it when judging a method. A back-test or a chart assumes perfect fills at the plotted price. Real fills are worse, and with small intraday targets a few points each way can remove most of what the method makes. Record the planned price and the actual fill for every trade, and you will know your own figure.