Slippage Tracking: Measure It or Watch It Grow

Without measurement, slippage drifts until it consumes edge. Traders often discover the problem only after months of silent bleed.

Real-time TCA flags cost swell beyond plan, enabling fixes while the issue is still cheap to correct.

Why it matters

Small per-trade losses accumulate across thousands of executions. Monitoring slippage ensures your expected edge survives contact with the market.

Common mistakes

• Using coarse daily averages that hide intraday spikes.
• Failing to separate venue, algo, and market impact.
• Ignoring opportunity cost from delayed fills.

Implementation steps

Define benchmarks

Use arrival price, decision price, or custom metrics per strategy.

Aggregate intelligently

Break down slippage by symbol, venue, algo, and time to spot patterns.

Act on anomalies

Review deviations promptly and feed insights back into routing logic.

LiquidityAI tie-in

• Streaming TCA compares fills to multiple benchmarks.
• Dashboards slice costs by venue and algorithm.
• Alerts notify when slippage breaches budgets.

Case sketch (composite)

A strategy’s average slippage crept from 2bps to 7bps over a quarter. LiquidityAI identified one venue’s deteriorating fills, leading to a routing change that restored costs to 3bps.

Takeaways

• What isn’t measured grows.
• Granular TCA exposes hidden cost drivers.
• Feedback loops keep execution aligned with expectations.

LiquidityAI provides tools and education for systematic trading. This article is for informational purposes only and does not constitute investment advice. Trading involves risk, including possible loss of principal.