Order Flow Slippage

Order flow slippage is the difference between the expected price of a trade and the actual price at which the trade is executed, caused by insufficient liquidity in the order book. In cryptocurrency markets, high slippage is common for low-liquidity assets or during periods of high volatility when market makers withdraw their orders.

It is a critical risk factor for large traders and institutional participants who need to execute significant volume without moving the price against themselves. Analyzing slippage provides direct insight into the market microstructure and the efficiency of the exchange's liquidity provision.

Traders use slippage data to determine the optimal trade size and the best time to enter or exit positions. It serves as a real-time indicator of market depth and the health of the trading venue.