How to measure slippage with one fill sequence

How to measure slippage starts with one price you write down before the order goes out. Slippage is the difference between the price you expected and the average price of your fills. The expected price is the arrival price. For a buy it is the best offer at the moment you send the order, and for a sell it is the best bid. This note works through one invented ES market order sent from the DOM in Liquivue, then the stop order that closes the trade, and turns both into ticks and dollars.

Why a market order fills at more than one price

A market order trades against the resting limit orders at the best price first. A resting order is a limit order that waits in the book. If the market order is larger than the size resting at the best price, the rest of it trades at the next price, and so on until the order is complete. The note on market, limit and stop orders on a futures DOM covers each order type.

The book before the order

All numbers below are invented. The market is the E-mini S&P 500 future, ES. One tick is 0.25 points and is worth $12.50 per contract. At 10:15:20 New York time the Liquivue DOM shows these offers.

The best bid is 5,040.00 with 11 contracts. On the heatmap layer, the offer band at 5,040.25 is dim, because 3 contracts is small next to the 9 at 5,040.75.

The fill sequence

You buy 8 contracts at market from the Liquivue DOM. The arrival price is 5,040.25. The exchange fills the order like this.

The order slipped 6 ticks in total. Six ticks at $12.50 is $75. Divided across 8 contracts, that is 0.75 ticks per contract. The average fill price is 5,040.4375, which is 0.1875 points above the arrival price.

The book in the first table can change before your order reaches the exchange. If another buyer takes 2 of the 3 contracts at 5,040.25 a few milliseconds earlier, your first fill shrinks to 1 contract and the total slippage rises to 8 ticks, or $100.

Slippage on the stop that closes the trade

The position has a stop market order at 5,036.00. A stop market order becomes a market order when price trades at the stop price. At 10:41 a trade prints at 5,036.00, and the stop sends a market sell for 8 contracts into these bids.

The stop slipped 7 ticks, or $87.50. The average exit is 5,035.78125.

The trade was planned as a loss of 4.25 points on 8 contracts, from 5,040.25 to 5,036.00. Each ES point is worth $50, so the planned loss was $1,700. The actual loss was 4.65625 points on 8 contracts, or $1,862.50. The difference of $162.50 is the $75 on the entry plus the $87.50 on the stop. Slippage added about 9.6 percent to the planned loss.

How slippage affects a session loss limit

Liquivue has session risk controls. When the maximum session loss is reached, Liquivue cancels orders, closes positions and locks trading for the rest of the session. Closing a position takes the prices the book offers at that moment, so the final loss may land past the number you set. If slippage adds about 10 percent to your stop losses, as it did here, set the limit 10 percent tighter than the loss you are willing to take.

Measuring slippage in Liquivue

Before you click, read the best offer on the Liquivue DOM and write it down. After the fills, open the position panel. Liquivue position tracking shows size, entry, P&L and fills, which is everything the first table needs. On the heatmap, trade bubbles print at 5,040.25, 5,040.50 and 5,040.75 in the same instant, and their sizes match your fills if no other trades printed there.

Liquivue sends orders from the chart or the DOM, with brackets, OCO and trailing stops. This site has not found a trade journal or a standalone time and sales window in Liquivue, so keep the arrival price and the fills in a spreadsheet.

Slippage on other platforms

Slippage depends on the size resting in the book when your order arrives, and no platform changes that size. A platform changes what you see before you click and which order types you can send. Bookmap adds live futures execution at its Global+ tier for US$99 a month. ATAS needs its Pro plan at €69.95 a month for live futures. NinjaTrader includes Order Flow+ with eligible funded plans. Liquivue costs €20 a month or €192 a year after a 7-day trial. Market data costs extra on every one of them, and the costs page sets out the totals.

A check you can run

For your next 20 market and stop orders, write down the arrival price before you send each one and the fills after. Work out the slippage in ticks per contract for each order. Split the 20 orders into those sent in the first 15 minutes after the open and those sent later, and compare the two averages.