Slippage

Slippage is execution shortfall. You decide to buy "at $64,000", but by the time the order reaches the market and eats through the order book, your average fill is $64,019. That's three basis points of slippage:

slippage (bps) = (avg fill − decision price) / decision price × 10,000

Where it comes from

Price moves between decision and execution (latency). Market orders start half a spread behind by construction. And size beyond the top of book fills at progressively worse levels, a cost that grows with order size and shrinks with liquidity.

Why backtests must charge it

A backtest that fills at ideal prices flatters every strategy, and the distortion grows with trade frequency. Scalping systems can flip from profitable to losing on slippage alone. AlphaProve charges a slippage allowance on market fills (and more on triggered stops), or walks real L2 depth where the data exists, so simulated fills degrade with size the way live fills do.

On AlphaProve

Slippage is a cost you dial in, not a fixed assumption. The market-slippage rate is a basis-point input, and a separate optional order-latency setting in milliseconds models the decision-to-execution gap named above. Raise the rate and re-run to see whether a scalping edge survives — profit factor, net PnL, and the equity curve all respond to it directly.