Slippage

Also seen as: execution slippage, fill-price slippage

How is slippage calculated?

Slippage is the fill price minus the quoted price, measured per unit or as a percentage of the quote.

$\text{Slippage} = P_{\text{fill}} - P_{\text{quote}}$

where $P_{\text{fill}}$ is the price the order actually executes at and $P_{\text{quote}}$ is the price it was quoted at; expressed as a fraction it is that gap divided by $P_{\text{quote}}$.

What counts as a large value?

Smaller slippage is better, because it eats less of each trade's value. Slippage tends to be larger for bigger orders and thinner, less liquid instruments, and it compounds with how often a strategy trades — a high-turnover strategy pays it more often than a buy-and-hold one.

Defaults in Fincanva

• Slippage is modelled as a small proportional cost applied to each fill, so unlike the flat transaction fee it scales with the value traded.
• It is a fixed platform assumption today — there is no setting in the app for changing the slippage a backtest models.
• It is applied only when Costs & interests is on; with costs off, modelled slippage is zero.
• The slippage paid feeds the costs shown in your results, alongside transaction fees and financing costs. In the positions view it is aggregated with the per-trade fee into the "Costs" figure rather than shown as its own line.

Worked example

A strategy places an order for a stock quoted at 100.00. Because the fill lands slightly worse than the quote, the order executes at 100.25. The slippage is 0.25 per share, or 0.25% of the quoted price — a cost that never appears in a naive "filled at the quote" backtest but does appear here once costs are on. The 0.25% is illustrative arithmetic chosen to make the sum easy to follow, not the fraction the model applies. Over many trades this small per-fill gap adds up, which is why turnover-heavy strategies feel it most.

The slippage a backtest models is an assumption applied to historical results, not the fill you would get in a real market, so a result net of it is still not what a strategy will do. Fincanva provides no financial advice — see Is this financial advice?.