Slippage
Slippage is the difference between the price you expect and the price your order fills at. Definition, causes and how backtests account for it.
Definition
The difference between the price you expected and the price your order actually filled at, usually worse in fast or thin markets.
Slippage is the difference between the price you expected when an order was placed and the price it actually filled at. It is usually a cost: a sell fills a little lower, or a buy a little higher, than the last price you saw.
Example
BTC is quoted at $84,600 when a stop-loss triggers and sends a market sell. In a fast fall, buyers at that price disappear within seconds, and the order fills at $84,100. The $500 difference, about 0.6%, is slippage.
Why it matters
Slippage is small on liquid markets in calm conditions and much larger in fast markets, during big news and on coins with thin order books. It hits hardest on market orders and triggered stop-losses, exactly when you most want a clean exit. On strategies that trade often, even small slippage on every order adds up, and backtests that ignore it overstate results.
How TradeCorgi uses it
A TradeCorgi backtest charges an assumed slippage on every simulated order, alongside the exchange fee, so results are not flattered. Live, the decision log records the price each order actually filled at, so you can see real slippage trade by trade. Agents check the market at most once a minute and trade spot only, which keeps them away from the high-speed trading where slippage dominates.