Slippage Percentage quantifies the difference between an expected trade execution price and the actual price at which a trade is filled, expressed as a percentage of the expected price. It represents a cost of execution, particularly relevant in volatile or illiquid crypto markets.
Mechanism
Slippage arises when market conditions change rapidly between the time an order is placed and when it is executed, or when a large order consumes available liquidity at desired price levels. In Request for Quote (RFQ) systems, slippage occurs if the market moves against the requested price before the quote can be filled.
Methodology
Minimizing Slippage Percentage is a key objective in smart trading systems and institutional execution. Methodologies include using limit orders instead of market orders, splitting large orders into smaller blocks, and employing smart order routing algorithms to find optimal liquidity across multiple exchanges. Monitoring historical slippage provides data for execution cost analysis.
Block trade data normalization optimizes execution, mitigates risk, and enhances strategic insight through precise data quality and operational metrics.
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