Slippage
A trader who sets a market buy at $50,000 with $100,000 of size may get filled at an average of $50,012 because the order book had only $30,000 of liquidity at exactly $50,000. The $12 difference is slippage, which on this trade represents 0.024% of position value.
Slippage compounds on every entry and exit. A trader paying 5 basis points slippage per side, plus 4.5 basis points in taker fees per side, loses 19 basis points round-trip. On a 1R trade with a 0.5% stop loss, that is roughly 4% of the planned risk consumed by execution costs.
The Almgren-Chriss model formalizes slippage as a nonlinear function of order size relative to market depth. PerpLog uses this model in its backtest comparison to penalize unrealistic high-frequency strategies that ignore real execution costs.
How PerpLog uses Slippage
PerpLog computes an Adaptive Slippage Buffer from your actual historical fills (mean + 1 standard deviation of slippage observed). Position size is automatically reduced so your real risk after slippage stays within budget.
Related reading
- Position Sizer: Risk-Based Sizing for Hyperliquid — Documentation
- Position Sizing for Perpetual Futures: The Complete Guide — Blog
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