Slippage is the gap between the price you saw and the average price you got. A market order takes the best price first, then walks to worse prices. Buying 40 SOL when only 20 SOL wait at 150.00 can average 150.20: 8 USDT of slippage. On Cryptathon a market order fills at most 1% from the mark price.
By the end, you can
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Why does a market order slip?
Slippage is the gap between the price you saw in the book and the average price you got. It comes from how a market order fills: it takes the best price first. When there is not enough there, it goes to the next price, and then the next, until it is filled. This is called walking the book.
Here are the four best asks in a SOL book:
- 150.00: 20 SOL (the best ask)
- 150.20: 10 SOL
- 150.60: 10 SOL
- 151.80: 20 SOL
Buy 40 SOL at market
You buy 40 SOL at market in this book. At what prices does it fill, and what is your average price?
- 1Take the best ask20 SOL bought, 20 SOL still to buy.20 × 150.00 = 3,000 USDT
- 2Take the next price30 SOL bought, 10 SOL still to buy.10 × 150.20 = 1,502 USDT
- 3Take the next priceAll 40 SOL bought.10 × 150.60 = 1,506 USDT
- 4Add up the costWhat the 40 SOL cost in total.3,000 + 1,502 + 1,506 = 6,008 USDT
- 5Find the average fill priceThe total cost divided by the amount.6,008 ÷ 40 = 150.20 USDT
AnswerIt fills at three prices, and your average fill price is 150.20, not the 150.00 you saw at the top of the book.
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How do you work out slippage?
To measure slippage, compare what you paid with what you expected to pay at the best ask. You can show it in USDT, or as a percentage of the price you saw.
A sell slips the other way: it walks down the bids, so you get less than the best bid.
Slippage on the 40 SOL buy
Same order: 40 SOL at an average of 150.20, when the best ask was 150.00. What is the slippage, and how does it compare with the fee?
- 1Find what you expected to payEvery SOL at the best ask.40 × 150.00 = 6,000 USDT
- 2Find the slippage in USDTWhat you paid on top.6,008 − 6,000 = 8 USDT
- 3Find the slippage per SOLThe average fill price minus the best ask.150.20 − 150.00 = 0.20 USDT
- 4Put it as a percentageA share of the price you saw.0.20 ÷ 150.00 ≈ 0.13%
- 5Compare it with the feeThe taker fee on the same order.6,008 × 0.05% ≈ 3.00 USDT
Answer8 USDT of slippage, about 0.13%. That costs more than the 3 USDT taker fee on the same trade.
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What makes slippage worse?
Two things make slippage worse: a bigger order and a thin book. A bigger order must walk further. A thin book has little depth near the best price, so even a small order walks far.
In the SOL book above, 10 or 20 SOL fill at 150.00 with no slippage. 30 SOL slip 2 USDT, and 40 SOL slip 8 USDT. If 60 SOL waited at 150.00 instead, all 40 SOL would fill there with no slippage.
A limit order has no slippage, because it fills only at your price. But it may not fill at all.
30 SOL instead of 40
In the same book, you buy 30 SOL at market. What is the slippage, and how does it compare with the 40 SOL order?
- 1Take the best ask10 SOL still to buy.20 × 150.00 = 3,000 USDT
- 2Take the next priceAll 30 SOL bought.10 × 150.20 = 1,502 USDT
- 3Find the slippageWhat you paid minus 30 SOL at the best ask.3,000 + 1,502 − 30 × 150.00 = 2 USDT
- 4Compare it with 40 SOLA third more size, four times the slippage.8 ÷ 2 = 4
Answer2 USDT. The last 10 SOL of the 40 SOL order came from 150.60, which is 0.60 above the best ask, so it added 6 USDT on its own.
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How far can a market order slip?
A market order cannot walk the book without end. On Cryptathon a buy fills no higher than 1% above the mark price, and a sell fills no lower than 1% below it. This price band sets how far a market order can walk.
The band starts from the mark price, not from the best ask.
Buy 60 SOL at market
The mark price is 150.00. You buy 60 SOL at market in the same book. How much of it can fill?
- 1Find the price capThe highest price a market buy may fill at.150.00 + 150.00 × 1% = 151.50 USDT
- 2Check the fourth priceThe 151.80 asks are above the cap.151.80 − 151.50 = 0.30 USDT
- 3Add the SOL under the capOnly the first three prices are in reach.20 + 10 + 10 = 40 SOL
- 4Find the part out of reachThis part cannot fill at 151.80.60 − 40 = 20 SOL
Answer40 SOL can fill, at an average of 150.20. The other 20 SOL cannot fill at 151.80, because that is more than 1% above the mark price.
Common questions
Does leverage change slippage?
With the same margin, higher leverage makes the order bigger, and a bigger order can slip more. Say SOL asks hold 20 SOL at 150.00, 10 at 150.20 and 10 at 150.60. A 20 SOL market buy fills at 150.00. A 40 SOL buy averages 150.20 and costs 8 USDT more than 40 SOL at 150.00.
How can you cut slippage?
Smaller orders and deeper books slip less. Splitting a big order over time helps only if new orders refill the book at good prices. A limit order sets the worst price you accept, but it may never fill. On Cryptathon limit orders are post-only, so they wait in the book and fill at the price you set.
Is slippage a fee that the exchange charges?
No. Slippage is a difference in fill price, not an exchange fee. If you expect to buy 40 SOL at 150.00 but fill at an average of 150.20, the difference is 8 USDT. On Cryptathon the taker fee on the 6,008 USDT trade is about 3 USDT. Together they cost about 11 USDT.
Check yourself
Three questions on the whole lesson.
What to remember
- Why does a market order slip?A big market order can fill at several prices, and you pay the average of them.
- How do you work out slippage?For a buy, take the expected price from the average fill price. For a sell, take the average fill price from the expected price. Multiply by the quantity.
- What makes slippage worse?Bigger orders and thinner books both push your average price away from the best price.
- How far can a market order slip?A market order never fills more than 1% from the mark price.