Measure the gap between the price you expected and the price your order actually filled at, in percent and in currency.
Slippage is the difference between the price you expected to trade at and the price your order actually executed at. It is caused by limited order-book depth and by price movement between placing and filling the order, and it is largest for big market orders in thin markets.
Slippage % = (Executed price − Expected price) / Expected price × 100
Slippage cost = (Executed price − Expected price) × QuantityFor a buy, a positive percentage means you paid more than expected; for a sell, it means you sold higher than expected (price improvement). The cost line converts the per-unit difference into the total amount, using the quantity you traded.