Slippage
Slippage is the difference between the price you expected and the price you actually get, often caused by limited depth and fast moving quotes.
Definition
Slippage is the gap between an expected price (often the top of book) and the actual execution price. It commonly occurs when the order book is thin or when quotes move quickly.
Why it happens
• Limited market depth at the best bid or ask.
• Your order size consumes multiple price levels in the order book.
• Quotes change between submission and fill in fast markets.
Why it matters
Slippage is a key reason your effective spread can be larger than the quoted spread. It is one of the main hidden costs in thin prediction markets.
Common pitfalls
Assuming top of book is guaranteed: The best bid or ask might not have enough size for your order.
Ignoring partial fills: Multiple fills across levels are a common slippage mechanism.