Slippage and fill quality

Summary

Slippage is the gap between the execution you expected and the one you actually received, while fill quality is the broader judgement of how well the trade was executed. Both are practical measures of real trading outcomes, not just quote appearance.

Definition

Slippage is the difference between the price level a trader expected from the quoted market and the price actually achieved when the order executed. Fill quality is a broader assessment that considers the quote, the available depth, the urgency of the order, and the eventual average execution. In the article, these concepts matter because liquidity should be judged by what can really be done in the market rather than by headline activity alone. A contract may show a respectable quote, but if size is thin or the book moves as the order trades, realised execution can still be poor. Converting slippage and spread into cash terms makes fill quality easier to judge in a disciplined way.

Sources

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