Slippage

Definition

Slippage rises when order size is large relative to book depth. Researchers treat expected slippage as a cost and a risk — especially in memecoins and illiquid alts — because exit slippage can erase a thesis that looked fine at entry.

Slippage turns theoretical prices into executable ones. If your model assumes fills at mid while the book can only absorb a fraction of size, your expected value is fiction. Estimate both entry and exit costs.

AMMs and order books produce slippage differently. Pool depth, tick liquidity, and volatility all matter. Compare venues rather than trusting a single aggregator quote as destiny. Proposal history is the evidence; Discord energy is not governance.

During unlocks or narrative breaks, depth can vanish and slippage spikes. Build that scenario into risk notes for thin names instead of discovering it live. Editable caps mean your FDV ceiling can move with politics.

Why researchers care

• A great entry dies if exit slippage is brutal.
• Size positions for depth, not just conviction.
• Compare venues before assuming a price is real.
• Volatility regimes change slippage faster than headlines admit.

How to use it in research

• Quote a 2% exit cost at your size — if that breaks the trade math, shrink or Pass.
• Notice a meme’s advertised price that only exists for dust-sized swaps.
• Split exits across venues when one book is decorative.

Common mistakes

• Modeling P&L on mid prices for illiquid alts.
• Ignoring that slippage worsens exactly when you most want to exit.
• Treating aggregator quotes as guaranteed fills.