How Slippage Actually Works In Futures

Most beginners think slippage is random. It isn’t. Slippage happens because you are hitting a moving market with an order that demands immediate execution.

1. Slippage = The Difference Between Your Intended Price And Your Fill

If you wanted to buy at 5000.00 but got filled at 5000.50, you slipped 2 ticks.

Formula:

slippage = fill price - intended price

Example (NQ):

You slipped 1 tick ($5).

2. Why Slippage Happens

Reason 1: Fast Market

If NQ is ripping 10–20 ticks per second, your order can’t fill at the price you clicked. It fills wherever the next available liquidity is.

Reason 2: Low Liquidity / Low Volume

If there aren't enough contracts at your level, your order fills at the next best level.

Reason 3: Market Orders Must Be Filled Immediately

They skip empty levels entirely. If the book is thin, you jump multiple ticks instantly.

Reason 4: News Volatility

CPI, FOMC, NFP — spreads widen, liquidity vanishes, and slippage can explode to 5–20 ticks easily.

3. Products With High and Low Slippage

High Slippage Risk:

Lower Slippage Risk:

The faster the product moves, the more slippage you’ll see.

4. How To Reduce Slippage

1. Trade During High Liquidity Times

- 6:30am–8:30am PST (NY session open) - First hour of RTH

2. Use Limit Orders For Entries

Limits reduce slippage by forcing price to come to you. You’ll miss some fills, but the fills you get are cleaner.

3. Avoid Market Orders on NQ Size

1 ES market order = fine 1 NQ market order = usually fine 3+ MNQ or multiple NQ = you’re asking for slippage

4. Don’t Trade News Spikes

Every prop firm blows people out during CPI because of slippage alone.

5. Use Stop-LIMIT Instead Of Stop-MARKET

This keeps stops from blowing through your level during fast moves.

5. The Real Reason Slippage Matters

Slippage destroys your expectancy. A system with:

…dies instantly if every stop slips 2 ticks and every entry slips 1.

That’s –3 ticks of slippage *per trade* → your system no longer has edge.

Bottom Line

Slippage isn’t random. It’s math. And if you don’t respect it, the market will take money from you even when your ideas are right.