How much slippage should I assume?

It depends on the instrument's liquidity, your order size, volatility and order type. Liquid large-cap stocks usually slip less than small caps, and market orders at volatile times slip more. Test a range of values. If a strategy only works with near-zero slippage, its edge is fragile.

Is slippage the same as brokerage or fees?

No. Fees are charges paid to brokers, exchanges and the government. Slippage is a worse execution price. TradingLead models them separately: commission and fees as costs, slippage inside the fill price.

Does slippage apply to limit orders on TradingLead?

In Pine strategy() runs, slippage applies to market and stop fills, not limit fills. In the shared engine, the configured slippage adjusts fills adversely.

Glossary

What Is Slippage in Trading?

Slippage is the difference between the expected price of a trade and the price at which it actually fills, usually against the trader. In TradingLead backtests and paper trading, slippage is a user-set assumption: basis points applied adversely to fills in the shared engine (default 2 bps), or whole ticks in Pine strategy() runs. It is built into the fill price, not added as a separate fee.

What it means

Slippage is the difference between the price you expected and the price you actually got. You place a market buy when a stock shows ₹500.00, and it fills at ₹500.40. That ₹0.40 is slippage.

Common causes:

Bid-ask spread: market orders buy at the ask and sell at the bid.
Fast markets: price moves between the decision and the fill.
Order size vs liquidity: large orders consume several price levels.
Gaps: stop orders can fill well beyond the stop price after an opening gap.

Why it matters in backtests

A backtest that fills every trade at the exact candle price is optimistic. Slippage is paid on every entry and exit, so frequent trading magnifies it. Strategies with a small average profit per trade, such as many intraday systems, can turn from profitable to losing once realistic slippage and costs are added.

How TradingLead models it

Shared backtest and paper engine: slippage is set in basis points (1 bp = 0.01%), with a default of 2 bps. It moves fill prices against you (higher buys, lower sells) and sits alongside separate commission and fee settings.
Pine strategy() runs: slippage is an integer number of ticks, applied to market and stop fills, not limit fills.
In reports: slippage is already inside the fill prices, so it is not shown as a separate fee line and is never charged twice.
Paper trading: direct practice sessions also default to 2 bps.
Backtesting Lab: the "Read a backtest report" lesson has a Slippage per order slider (0-30 bps) so you can see how it moves the break-even win rate.

All of these are your assumptions. TradingLead does not measure real market impact or order-book depth.

Tips

Use higher slippage for illiquid stocks, small caps, fast intervals and market or stop orders.
Rerun a promising backtest with double the slippage. If it fails, the edge was thin.
Compare results with costs on and off to see how much of the gross profit costs consume.

See Backtest a strategy for where to set slippage in the Backtesting panel.

Limitations

A fixed assumption, not measured market impact.
No order-book or liquidity model.

Frequently asked questions

How much slippage should I assume?: It depends on the instrument's liquidity, your order size, volatility and order type. Liquid large-cap stocks usually slip less than small caps, and market orders at volatile times slip more. Test a range of values. If a strategy only works with near-zero slippage, its edge is fragile.
Is slippage the same as brokerage or fees?: No. Fees are charges paid to brokers, exchanges and the government. Slippage is a worse execution price. TradingLead models them separately: commission and fees as costs, slippage inside the fill price.
Does slippage apply to limit orders on TradingLead?: In Pine strategy() runs, slippage applies to market and stop fills, not limit fills. In the shared engine, the configured slippage adjusts fills adversely.

Last updated: 5 November 2026