Slippage
Price slippage · Execution slippage
The gap between the price you expected and the average price your order actually filled at, largest on big market orders and thin coins.
Simple explanation
Background: Korea's crypto exchanges (Upbit, Bithumb, Coinone and Digital X, formerly Korbit) trade coins for Korean won, and each has its own order book, so the same coin can be easy to trade in size on one exchange and thin on another.
An order book lists sell orders (asks) and buy orders (bids) stacked up by price. A market buy fills against the cheapest asks first, and a market sell against the highest bids first.
If your order is bigger than what is waiting at the best price, the rest fills at the next price level, then the next. So a buy ends up costing more than the price you first saw, and a sell brings in less. That difference is slippage.
Slippage grows with the size of the order, with thin order books (little volume waiting at each price) and in fast markets: sharp rallies or drops, the first minutes after a new listing, or big news. On a coin with a wide spread (a big gap between the best bid and the best ask), the price on the screen (the last trade) and the price you can actually trade at are already apart before you start.
Order-book depth for the same coin differs from one Korean exchange to another. Usually, the more trading value an exchange has, the less the price moves for the same order, while on a quiet exchange it can move a lot. Before you trade, the amounts waiting at each price in the order book show roughly how far your order would reach.
A market order fills right away but does not guarantee the price. A limit order never fills at a worse price than the one you set, but it may fill only partly, or not at all, if the market does not get there. Splitting a large order into several smaller ones moves the price less each time, though the price can move in between.
The kimchi premium in the rankings is worked out from current prices. When you actually buy and sell a large amount, slippage on both sides cuts into the gap you keep, and on a coin with a small premium, fees and slippage alone can wipe it out.
CoinGaja's Kimchi Premium Calculator fills your amount along each exchange's real order book, works with the average fill price, and shows the part lost to the price moving against you as a separate slippage figure.
On decentralised exchanges (DEXs) and in-wallet swaps you set a slippage tolerance in percent, and the trade is cancelled if the price moves further than that. Set it too high and you can end up with a much worse price than you expected.
Example
Coin A's best bid (the highest price you can sell at right now) ₩1,000 → selling 10,000 coins at market looks like it should bring in ₩10,000,000
Order book (bids): 5,000 at ₩1,000 · 3,000 at ₩990 · 2,000 at ₩980
① ₩1,000 × 5,000 = ₩5,000,000
② ₩990 × 3,000 = ₩2,970,000
③ ₩980 × 2,000 = ₩1,960,000
Total received = 5,000,000 + 2,970,000 + 1,960,000 = ₩9,930,000 → average fill price ₩993
Slippage = 1 − 993 ÷ 1,000 = 0.70% → ₩70,000 less than expected (trading fees not included)
With 10,000 or more coins waiting at ₩1,000 (a deep order book) → average fill price ₩1,000, slippage 0%
※ Example numbers, for illustration only
See it on CoinGaja
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