Slippage is the gap between the price you asked for and the price you got. A stop at 1.0820 that fills at 1.0817 slipped 3 pips. Market orders, stop orders and fast markets are where it happens; limit orders do not slip in price, but may not fill at all.

Why it happens

  • Fast markets. Around news releases and market opens, prices jump past your level before the order is executed.
  • Thin liquidity. Off-hours, exotic pairs and small-cap stocks have fewer orders at each price.
  • Gaps. A weekend or overnight gap can fill a stop far beyond its level.
  • Size. A large order can take out several price levels.

What it costs

On one trade slippage is small. Across a year it adds up:

Average slippage Trades a year Value per pip Yearly cost
0.5 pip 400 $10 $2,000
1 pip 400 $10 $4,000

That cost never shows up as a "mistake", but it shapes the net P&L just as much.

How to see it in a journal

Record the fill price, not the planned price. Then two things become visible:

  • Losses beyond −1R. If the stop was the plan and the trade lost −1.15R, the extra 0.15R is slippage plus costs. A cluster of −1.1R to −1.3R losses is the signature of slippage.
  • Session patterns. Compare the losses of trades taken right before or after news with the rest.

If the losses go well beyond −1R, the cause is more likely moving the stop than slippage.

In SetupBook

Enter the actual fill prices and the R distribution in Analytics shows every loss beyond −1R. The "Pre-news trade" mistake tag and the session breakdown help separate news slippage from ordinary fills.