What Is Slippage in Crypto Futures?

Slippage in Crypto Futures is the difference between the price you expected an order to execute at and the price it actually fills at, caused by the market moving in the time between when you place an order and when it's matched. Slippage is most relevant to Market Orders, since a Market Order executes immediately against whatever prices are available on the order book rather than waiting for a specific price — for example, if you submit a Market Order to buy expecting a fill around USDT 60,000 but fast price movement or thin order-book liquidity means your order fills at an average price of USDT 60,150, that USDT 150 gap is slippage. Limit Orders are not exposed to slippage in the same way, since a Limit Order only fills at your specified price or better, never at a worse price than you set. Slippage tends to increase during periods of high volatility or lower liquidity on a given contract, when there are fewer resting orders at the price levels closest to the current market price.

• Slippage happens specifically at order execution — it's the gap between expected fill price and actual fill price, not a valuation or risk-calculation concept.
• Market Orders carry the highest slippage exposure, since they prioritize immediate execution over price certainty.
• Limit Orders avoid slippage by design: they only execute at your set price or better, though they carry the tradeoff of potentially not filling at all if the market never reaches that price.
• Slippage tends to be larger during fast-moving markets or on contracts with thinner order-book depth, since a Market Order has to fill against fewer available price levels.
• Slippage is a separate concept from the gap between Mark Price and last traded price: Mark Price is a weighted average used for unrealized PnL and liquidation calculations, while slippage is specifically about the difference between your expected execution price and your order's actual fill price on the order book.

Related questions:

Q: Which order type is most affected by slippage?
Market Orders are the most exposed to slippage, since they execute immediately against available order-book liquidity rather than waiting for a specific price, which means the fill price can differ from the price displayed at the moment you submitted the order. Limit Orders are not affected the same way, because they only execute at your specified price or a better one.

Q: Does slippage only happen during high volatility?
No. Slippage can occur any time an order's execution takes even a brief moment to match against available liquidity, but it becomes more noticeable during high volatility or on contracts with thinner order-book depth, since prices move faster and fewer orders sit at the nearest price levels. Under calmer, more liquid conditions, slippage on a Market Order stays small enough to go unnoticed.

Q: Is slippage the same as the difference between Mark Price and last traded price?
No, these are different concepts. Slippage is the gap between the price you expected your order to fill at and the price it actually executed at on the order book. The Mark Price versus last traded price gap is a separate mechanic — Mark Price is a weighted average across major exchanges used for unrealized PnL and liquidation triggers, while last traded price reflects the most recent actual order-book execution.

Q: Can I avoid slippage entirely by using a Limit Order?
Yes, in the sense that a Limit Order only executes at your specified price or better, so it can never fill at a worse price than what you set — eliminating slippage risk on that specific order. The tradeoff is that a Limit Order may not fill at all if the market price never reaches your specified level, so you're trading price certainty for execution certainty.