What Is Slippage in Futures Trading?

Slippage in futures trading is the difference between the price you expected when you sent an order and the price the order actually filled at. It shows up on market orders and on stops, because both of those hand the pricing decision to whatever happens to be resting on the order book at the instant the order arrives.

The word has no definition in the CFTC's futures glossary. Where it does turn up in the documentation cited here is in a self-regulatory organisation's notice about hypothetical track records and on a platform vendor's page about making stop fills tighter. Between them those two set out what the cost is: something a simulated record can get wrong in either direction, and something an order type can put a ceiling on.

What is slippage in futures trading?

Slippage is the distance between an intended price and an executed price, measured in ticks and paid in dollars. The CFTC glossary carries no entry under the word: a search of the whole page on 22 October 2026 returned zero occurrences of it. The definition has to be assembled from the order types the glossary does define.

Its market order entry covers a buy or a sell taken at whichever price is available when the order arrives, in an order book or on another trading platform. You are buying an execution, and the price is the consequence. Its entry for a limit order describes the opposite arrangement, where the customer states a minimum sale price or a maximum purchase price, and the glossary draws the contrast with a market order filled at the market price as soon as possible.

The National Futures Association uses the term directly. Interpretive Notice 9025, which interprets NFA Compliance Rule 2-29 for promotional material containing hypothetical performance results, is dated February 1996 and carries revisions in August 1996, January 2020 and March 2020. Its opening paragraph puts the problem in the hindsight a hypothetical record is built with, which "may under- or over-compensate for the impact of certain market factors, including lack of liquidity and price slippage". Note the direction of that wording: it allows a simulated record to overstate slippage as well as understate it.

Is slippage the same as the bid-ask spread?

The bid-ask spread and slippage are two separate costs, and you pay the first one every time you cross the spread with a market order, whether or not you suffer the second. The CFTC glossary, under the entry titled Bid-Ask Spread or Bid-Offer Spread, defines the spread as what separates the bid from the ask or offer. That is the price of immediacy when everything goes to plan.

The glossary's definitions of the two sides explain why the second column exists at all. Its Bid entry has the bid standing for a specific quantity as well as a stated price, and its Ask entry puts the ask at the price level an offer sits at. Quantity is part of the quote. Its entry on transparency makes the same point from the market structure side: pre-trade transparency covers bids and offers including spreads and the quantities available. Its Liquid Market entry describes one where buying and selling happen "with minimal effect on price", which is a market where slippage is small, described without using the word.

What causes slippage in futures?

The documentation cited here points at three causes: the size resting at the price you wanted, the order type you sent, and the staleness of the data you acted on. The order type is the one of the three you choose.

Size comes first. Because a bid is good for a stated quantity, an order larger than the quantity at the top of the book takes the next price level, then the one after. Quantower's market depth panel exists to show exactly this: a count of the resting buy and sell orders at each price level, which is how a trader gauges liquidity and sees which prices buyers and sellers have stacked up at. Without depth data the quantity behind the best price is invisible.

Stale data comes second. Sierra Chart's order documentation treats a market data delay of as little as 100 milliseconds as a delay worth naming, and says that delayed data is what limit chase orders, move-to-breakeven actions and trailing stop modifications are driven by, so an attached order can be adjusted using prices that occurred before its parent order even filled.

There is a ceiling, and the exchange sets it. The glossary describes price banding as a CME Group and ICE mechanism under which an incoming order has its price verified and is turned away if that price is clearly erroneous, with the bands monitored and adjusted through the day. Sierra Chart's documentation describes the trader-facing version: an exchange will usually hold a maximum and a minimum price that order prices have to fall between, and a limit or stop priced outside either is rejected. Daily price limits, which the glossary defines as the maximum move from the previous settlement allowed in one session under exchange rules, cap the move itself.

Why do stop orders slip?

Stop orders slip because a stop becomes a market order the moment it triggers. The CFTC glossary says so plainly: a stop order converts to a market order once price reaches the level named on it, with a sell stop placed under the market and a buy stop over it, and the entry notes that stop loss order is an alternative name for it. Once triggered, it accepts whatever is obtainable.

On the CME exchanges a single-price stop arrives with a limit attached, and the exchange sets it. Sierra Chart documents that a stop submitted with a single price and routed through to CME, CBOT, COMEX or NYMEX is converted by the exchange into a stop-limit order, with a limit price the CME calculates and places far enough away from the stop price to prevent a fill once the market has moved too far. The documentation describes this as normal, expected, and a safety feature for maintaining an orderly market. Some trading services show the conversion after the exchange accepts the order, with the exchange-set limit visible as a second price on the order.

A trader who wants a tighter ceiling than the exchange's has to set it. The method in Sierra Chart's documentation is to use a stop-limit order, as either the entry order or the attached order, and set the limit offset in ticks to the most slippage you are willing to take; the page's own example gives one to four ticks and allows higher values. The same section carries the warning that goes with it: the order may not fill at all, in which case it is not protecting anything. Stop loss vs stop limit orders in futures works through that trade-off in detail.

Can a limit order slip?

A limit order cannot fill worse than its limit price, it can fill better, and it can fail to fill entirely. Sierra Chart's documentation gives the better-fill case as a worked example: with the last trade at 100, the bid at 100 and the ask at 101, a buy limit entered at 105 fills immediately at 101.

The fill condition is the same one in both directions. A buy limit fills when the ask is at or below the limit price, and it fills at the ask; a sell limit fills when the bid is at or above the limit price, and it fills at the bid. An aggressively priced limit is an order to take the best price available.

What a resting limit costs instead is position in the queue. The glossary describes an order book as a structure in which bids and offers are matched on nothing beyond price, arrival time, or both, which is why a resting limit has a position in a line and not only a price. Sierra Chart's simulator models this with an optional position-in-queue estimate, which fills a buy limit sitting at the best bid only once its estimated queue position reaches zero, and which needs either size figures on both quotes or market depth data to work at all. Market orders and limit orders covers which of those two costs — a worse price or no trade — you are choosing between.

How do you measure slippage in ticks and dollars?

Measure slippage as the number of ticks between your intended price and your fill, multiplied by the tick value of the contract, multiplied by the number of contracts. Nothing about the arithmetic is specific to slippage; it is the same multiplication as any other tick-denominated cost.

The tick values on our tradable instruments page were each checked against CME contract specifications on 31 August 2026, and they are the operands here. The E-mini S&P 500 moves in quarter-point ticks worth $12.50, and the micro version of the same contract in quarter-point ticks worth $1.25. So a single tick of slippage on one E-mini contract is $12.50. Two ticks on four of them is $100. Four ticks on four is $200, and four ticks on forty micro contracts is also $200, because forty times $1.25 times four comes to the same figure.

The contract ceiling is the multiplier that matters. Our published contract limits put the $50K accounts at four minis or forty micros, with ten micros counting as one mini, measured across everything held at once. At that size, a stop that slips four ticks costs $200 more than the stop distance suggested it would.

The measurement is recoverable after the fact on a platform that logs it. Sierra Chart writes the bid, ask and last trade price at the moment of a simulated fill into the trade activity log alongside the fill itself, which is enough to reconstruct why the fill landed where it did.

Does slippage happen in a simulated futures account?

In a simulated account the fill is produced by software, so slippage is whatever the simulator's rules produce. One platform's rules can be read in full. Sierra Chart's trade simulation documentation states that its simulation mode works from three prices: the last trade, the bid and the ask. A buy market order fills at the ask and a sell market order fills at the bid, immediately, every time; if both quotes are zero the fill comes from the last trade price.

A simulated market order is charged the spread and nothing beyond it, because those rules name no second price level to walk into. Simulated stops work from the same three prices: a buy stop triggers when the last trade reaches or passes the stop price and fills at the current ask, or at the last trade price plus one tick where both quotes sit above the last trade.

A simulator can also make latency a setting. Quantower's trading simulator takes an execution delay in its general settings, beside a starting balance, a netting type and a commission size, and it will run against a connection that gives no live order routing at all.

That is why NFA's two-way language matters, and why sim trading and live trading are two different measurements. Accounts here are simulated accounts that pay out real profits, and two facts about them bear on execution: the included market data is Level 1, the best bid and the best ask for CME, CBOT, COMEX and NYMEX, with depth of market not included and not available to buy from us; and commissions and exchange fees are applied to the balance as they would be on a live account.

What does slippage do to a funded account's drawdown?

Slippage lands on the account balance, and the balance is what the drawdown line is measured against, so a fill four ticks worse than planned is four ticks of drawdown room gone. Our drawdown line sits a fixed distance below the highest end-of-day balance, rises only on a new highest closing balance, never moves down, and is monitored in real time through the session, with a touch at any point liquidating the account immediately.

That combination has a practical consequence for sizing. The line moves up for you only on a new high close, while a worse-than-expected exit reduces the gap between your balance and a line that is standing still. The loss you actually take is the stop distance plus the slippage, and the only one of those two numbers you chose is the first.

The arithmetic above gives the budget. On a $50K account at the four-mini ceiling, four ticks of slippage on an E-mini S&P 500 exit is $200 of drawdown room that was not in the plan. Budgeting for the gap inside the stop distance is what keeps a planned risk and a realised loss in the same neighbourhood, and it is the same calculation behind setting a stop-limit ceiling of your own.

FAQ

Can slippage work in your favour?

A fill better than the price you named is possible, and the limit order is where it is documented. Sierra Chart's fill rules have a buy limit filling at the ask whenever the ask is at or below the limit price, and a sell limit filling at the bid whenever the bid is at or above it. An aggressively priced limit therefore takes the quote on the other side, which can be well inside the number written on the order. A market order has no such floor, because it takes whatever the book is showing when it arrives.

Why did my market order fill several ticks away from the price I clicked?

Three candidates, cheapest to check first. Start with the order type: Sierra Chart's section on orders that do not fill at expected prices begins by identifying what type of order was actually sent. Second, the size available: the CFTC glossary's Bid entry builds a specific quantity into the bid as well as a price, so an order larger than that quantity takes the next price level. Third, stale data — the same Sierra Chart documentation treats a market data delay of as little as 100 milliseconds as worth naming.

Does slippage count against a prop firm drawdown?

Slippage affects the account balance, and on our accounts the drawdown line is measured against the balance and monitored in real time through the session, with a touch at any point closing the account. A fill worse than the stop price therefore consumes drawdown room exactly as the planned loss does. The line only moves up on a new highest closing balance, so there is nothing automatic that gives the room back.

Is there slippage in a demo or simulated futures account?

There is whatever the simulator's rules create. Sierra Chart documents simulated market orders filling at the ask for a buy and the bid for a sell, immediately, from last, bid and ask prices alone, so the spread is charged and no deeper level exists to be charged for. Quantower's simulator makes execution delay a configurable setting. NFA's notice on hypothetical results treats the difference as capable of running in either direction.