Futures Slippage Explained: Why Your Orders Fill Worse Than You Expect
Slippage is the difference between the price you wanted and the price you actually got. It’s one of the fastest ways beginners lose money in futures. Slippage gets worse during volatility, low liquidity, gaps, and session transitions — all topics you already learned in liquidity basics and gap mechanics.
What Slippage Really Is
Slippage happens because your order hits a thinner part of the book than you expected. If there’s not enough liquidity at your price, the platform fills you at the next available level.
Slippage can hit:
- Market orders
- Stop orders (which convert to market orders)
- Limit orders during fast markets
Why Futures Are Prone to Slippage
Futures move fast. They’re leveraged. And order books can change instantly, especially around news or low-volume periods.
Main causes of slippage:
- Low liquidity
- Fast volatility spikes
- Thin overnight sessions
- Holidays or early closes
- Large orders in small accounts
- Stop hunts in volatile markets
Slippage Examples (Realistic Scenarios)
| Situation | Expected Fill | Actual Fill |
|---|---|---|
| Market order in fast NQ | 18,450.00 | 18,452.75 |
| Stop order triggered on CL | 78.10 | 78.52 |
| Overnight MES entry | 5400.00 | 5401.25 |
Which Contracts Slip the Most
- NG – wild volatility, thin book
- CL – fast moves, aggressive algos
- GC – jumpy around news
- Micro contracts – lower liquidity than full-size
Index futures like ES have less slippage because liquidity is massive, but it still happens during news.
Why Slippage Happens During News
During news releases, thousands of orders hit the book at once. Liquidity vanishes. Every order becomes a market order into an empty ladder.
This is why beginners get destroyed trading CPI, NFP, and FOMC.
How to Reduce Slippage
1. Trade During High Liquidity Sessions
U.S. session (8 AM–4 PM ET) has the best fills. Asian session has the worst — spreads blow out and books thin out.
2. Use Limit Orders Whenever Possible
Limits protect you from running into bad fills, but they won’t save you during extreme volatility.
3. Avoid News Releases
Most beginners should never trade news. Ever.
4. Avoid Holidays and Shortened Sessions
Holiday slippage is some of the ugliest on the entire CME calendar.
5. Trade the Right Contracts
If you’re new, don’t touch NG or thin commodities. Stick to ES, MES, NQ, and maybe CL once you’re experienced.
The Bottom Line
Slippage is the invisible tax on bad timing and bad liquidity. If you don’t understand what causes slippage, you’ll bleed money even with a good strategy. Respect liquidity, avoid news, and stop trading in dead sessions — that’s how you keep fills clean.