How much slippage can this trade absorb before the edge disappears?
Slippage is the gap between the quoted price and your average fill. In the default example, 0.4% on entry and 0.5% on exit cost $1.90 of a $43.17 quoted profit, and the trade could absorb about 10.4% slippage on both legs before breaking even.
The calculator compares the quoted trade with the trade you can fill, so you see the PnL lost to slippage, the edge that remains, and how much more slippage the trade can take.
- Best for
- Checking whether thin liquidity still leaves real edge
- Primary output
- Net PnL after slippage and max tolerable slip
- Use before
- Sizing up a trade from visible top-of-book quotes
Key points
- Compares quoted PnL with PnL after slippage
- Shows the edge left after fills and fees
- Finds the most slippage the trade can absorb
Method and assumptions
What slippage means in prediction markets
In a thin order book, the best price covers only a few contracts. A larger order fills through several price levels, so its average price is worse than the quote.
A trade you exit early pays slippage twice, buying above the quote and selling below it, on top of fees.
- Entry slippage raises your cost basis
- Exit slippage lowers what you can sell for
- Fees and slippage hit the same trade
- Thin books punish larger orders the most
How to estimate slippage
Look at the book for the size you plan to trade. If the order sweeps several price levels, use the average fill for the full size, not the first level.
Estimate entry and exit separately: a market can be easy to buy and hard to sell. When unsure, assume more slippage, not less.
- Enter the quoted entry and exit prices from your plan.
- Estimate entry and exit slippage separately based on depth.
- Add fees and fixed movement costs.
- Check whether the trade still clears your required edge.
Worked slippage example
You plan to buy 400 contracts at $0.46 and sell at $0.58. With 0.2% fees on each side and $4 of flat costs, the quoted net PnL is $43.17.
Add 0.4% entry slippage and 0.5% exit slippage and the fills become $0.4618 and $0.5771. Net PnL drops to $41.27, and the edge left is 22.43% of the entry value. The trade would break even at about 10.4% slippage on both legs, or 23.4% on entry alone.
- A trade can stay profitable on quotes and fail on fills
- The maximum-slippage figures show how much room a size leaves
- Skip small edges that need near-perfect fills
Slippage mistakes to avoid
The common ones are treating the top of the book as if it covers the whole order, and checking only the entry when the exit is often thinner.
Another is judging slippage alone. Fees, slippage and flat costs come out of the same trade, so decide on the total.
- 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
Sources and assumptions
Frequently asked questions
Why does the calculator ask for separate entry and exit slippage?
Because liquidity can differ on the way in and on the way out. A market can be easy to enter and much harder to unwind.
What if I plan to hold to resolution instead of exiting early?
Then exit slippage matters less, but entry slippage and fees still apply. Set exit slippage to zero only if you will really hold to resolution.
How do I estimate slippage if I do not have order book data exports?
Use what you can see: depth at each price level, recent fills, and your order size relative to visible liquidity. When in doubt, add a buffer.
Is a trade safe if the max symmetric slippage is large?
It is safer on execution, but that alone does not make it a good trade. Pricing, position size and rule clarity still matter.