You saw $1.4386. You pressed buy. You got $1.4402. Nothing went wrong, nobody cheated you, and the difference has a name: slippage. It is the price of being in a hurry, and it is measurable before you ever click.
A market order does not buy at a price
This is the part that trips people up. A market order does not say "buy at $1.4386." It says "buy this quantity, now, at whatever it takes." Those are very different instructions.
The exchange fills you against whatever is resting on the book, starting with the best price and working outward until your quantity is satisfied. If the best offer only covers a fraction of your order, the rest comes from the next level, and the next.
Your fill price is the weighted average of everything you consumed. The number you saw on screen was only ever the first price you were going to pay.
Working an example
Say the offers look like this:
- 2,000 at $1.4386
- 3,000 at $1.4395
- 10,000 at $1.4402
You buy 5,000. You take all 2,000 at $1.4386 and all 3,000 at $1.4395. Your average is about $1.4391 — half a tick of slippage, barely worth noticing.
Now buy 12,000. You clear the first two levels and take 7,000 from the third. Your average is roughly $1.4399, and the price you leave behind is $1.4402. You moved the market and paid for the privilege in the same motion.
Slippage is not the spread, and not a fee
Three costs get muddled constantly:
- The spread is the gap between the best bid and the best offer. You pay it the moment you cross, even on a tiny order.
- The fee is what the venue charges. It is printed in advance and you can read it.
- Slippage is what you pay for being larger than the top of the book. It scales with your size and with how thin the market is.
You can shop around for fees. You cannot shop around for slippage — it is a property of the liquidity in front of you at the moment you arrive.
What makes it worse
Thin books. The same order that barely registers in BTC can move a smaller market noticeably. Size is always relative to the depth available.
Volatility. When price is moving, market makers widen their quotes or step back entirely. The book you are about to hit is thinner than the one you looked at.
Everyone doing it at once. The worst slippage arrives exactly when you most want to act — a sharp move, a headline, a liquidation cascade. That is when liquidity is scarcest and when the most people are reaching for the market button.
What actually reduces it
Use limit orders when you can. A limit order cannot slip past your price. It can fail to fill, which is a different problem, and often a cheaper one.
Break up size. Several smaller orders let the book replenish between them. This is most of what an execution algorithm does.
Check the depth before you send. Add up the resting size within your tolerance. If your order is larger than that, you already know roughly what will happen — though remember that resting orders can be withdrawn.
Do not chase. Slippage is worst in exactly the conditions that make people feel they must act immediately.
Seeing it happen
Slippage is easier to understand watching than reading. When a large order arrives on the Battle Crypto board it does not appear as one soldier at one price — it appears as force applied against the line, and the line moves. That movement is the slippage: the market's price after the order is what the order cost the person who sent it.
The live BTC board shows this at scale, and what a $100k order does follows one all the way through.