Tutorials
What Is Crypto Slippage? Calculate the Real Cost from Order-Book Depth
Slippage is the difference between expected and average execution price. Calculate it from order-book levels and separate it from spread and fees.
Slippage is the difference between the expected price and the weighted average execution price. It is not a separate exchange charge; it is an execution result produced by available liquidity.
Checked on 2026-07-12 (UTC+8).
Reproducible Example
An order expects to buy ten units at 100. The asks contain:
- Three units at 100
- Four at 100.5
- Three at 101
Average fill = (3×100 + 4×100.5 + 3×101) ÷ 10 = 100.5.
Buy slippage = (average fill − expected price) ÷ expected price × 100% = 0.5%.
That number excludes the trading fee. Spread and fees must be added to estimate total execution cost.
What Increases Slippage?
- Order size is large relative to visible depth.
- The pair is illiquid and the spread is wide.
- News or liquidations move prices during execution.
- A market order has no narrow price constraint.
- On-chain tolerance is set too wide, increasing execution and possible front-running risk.
Real-World Scenario: A Large Order in a Thin Overnight Book
The same order can cost noticeably more at a different hour. Suppose a pair's book thins out during low-liquidity overnight hours: one unit at 100, two at 100.8, and five at 102. A market buy of five units fills at (1×100 + 2×100.8 + 2×102) ÷ 5 ≈ 101.1—more than 1% slippage against the expected 100—while the identical order during deeper daytime liquidity might average just above 100. Nothing about the order changed; only the liquidity at execution time did. If you must trade during low-liquidity hours, reduce the order size or use a limit order, and compare whether another pair for the same asset offers deeper resting orders.
Practical Controls
- Read depth, not only the latest price.
- Split a large order while accounting for additional fees.
- Use a limit to define the worst acceptable price.
- Avoid the opening moments of a new listing or abnormal liquidity.
- Compare real depth across available pairs for the same asset.
Separate Slippage, Spread, and Fee
The fee comes from a schedule. The spread is the gap between best bid and ask. Slippage depends on size, depth, and timing. Record expected price, weighted average fill, quantity, and fee to review a trade honestly.
Continue with market vs limit orders and exchange fee calculations.
Official References
⚠️ Splitting and limiting can manage slippage but cannot remove volatility or non-execution risk.