What is Slippage?

Slippage is the cost of moving the market when you trade: a large order "walks the book," filling at progressively worse prices than the best quote. The thinner the order book, the more slippage.

For funding arbitrage, slippage on both legs (entry and exit) is a core cost that can erase a thin spread. ORBIT’s backtester estimates slippage from live order-book depth rather than assuming a flat fee.