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Slippage Math

Slippage models the difference between the reference price and the executed fill price.

Slippage Diagram

flowchart LR
  A[Reference Price] --> B[Slippage Model]
  B --> C[Adjusted Fill Price]

Fixed BPS

The fixed basis-point model applies a constant penalty based on notional:

  • Buy: fill = price * (1 + bps/10000)
  • Sell: fill = price * (1 - bps/10000)

Regime BPS

The regime model applies a regime-specific bps value using the current regime label. This is useful for widening costs in volatile regimes.

See guide/execution-models.md for configuration.