Slippage is the cost of turning a quoted opportunity into a filled trade. In a thin order book, the best displayed price may only exist for a tiny amount of size, so your average fill can be worse than the screenshot that first caught your attention.

• Entry slippage raises your cost basis.
• Exit slippage cuts the price you can realize later.
• Fee drag and slippage often hit the same trade together.
• Thin books punish larger size disproportionately.

Start with the price and contract count you actually want to execute, then estimate how far through the book you would need to trade to complete that size. If you have to sweep multiple levels, your slippage assumption should reflect the weighted average fill, not the first visible line.

1. Enter the quoted entry and exit prices from your plan.
2. Estimate entry and exit slippage separately based on depth.
3. Add fees and fixed movement costs.
4. Check whether the trade still clears your required edge.

Suppose you plan to buy at $0.46 and exit at $0.58 on 400 contracts. The quoted PnL looks attractive, but once you add 0.4% entry slippage, 0.5% exit slippage, fees, and fixed cash costs, the net result changes materially.

• The quoted trade can remain profitable while the executable trade degrades sharply.
• The max-slippage outputs help you stress-test a planned size.
• A small edge should usually be rejected if it only survives under optimistic execution assumptions.

The biggest mistake is using top-of-book prices as if they represent your full intended size. The second is assuming only entry matters when the exit is often where thin markets punish the trade most.

• Treating displayed quotes as executable size
• Ignoring exit-side liquidity
• Using a single slippage number for both legs when the books differ
• Approving a trade that only works under ideal fills

Simple execution rule: If the trade only works when slippage is near zero, the trade is not robust enough. Good execution assumptions should be conservative and still leave a reason to act.