Slippage

In brief

Market price, price impact, expected execution and actual execution are related but not identical. Impact is the difference attributable to order size versus available depth. Slippage is actual execution versus the like-for-like execution you expected when submitting; delay, routing, others’ trades and ordering can open that gap. If a screen compares the fill only with a pre-trade spot price, its displayed number may combine impact and slippage. Tolerance is a protective limit; exceeding it reverts a typical exact-input AMM-router transaction. The concept predates Uniswap and applies to order books too.

Expected versus executed

Before you sign, a wallet or exchange should show an expected execution or quoted price for your size, usually based on a simulated route. It may separately show a market, mid or spot price. Those are different benchmarks.

After inclusion you have an execution price: the realized ratio of tokens out to tokens in. Swap fees should be identified separately rather than relabelled as slippage.

Slippage is the difference between the expected execution price and that realized execution price, usually expressed as a percentage. It can go against you or, less often, in your favor if the market moved your way.

It is not:

• the swap fee (30 bp on Uniswap v2, or a book’s taker fee);
• gas or priority fees;
• a tip you “set” to pay the pool.

Price impact is one ingredient

On an AMM, a larger trade relative to reserves moves farther along the pricing curve. The difference between the pre-trade reference price and the size-adjusted expected execution is price impact. Uniswap’s constant-product rule generates that impact (see Automated market makers).

On an order book, a large market order walks the ladder: it fills the best ask, then the next, then the next. Depth at each level determines impact. Thin books have more impact for the same size.

Impact is about your size versus depth and can be estimated before submission. Slippage is about the expected execution versus what actually happens by the time you fill.

What else opens the gap

• Volatility. The price moved while your transaction waited.
• Other flow. Another swap or market order hit the same pool or book first.
• Routing. An aggregator split you across three pools; one leg was worse than the quote’s model.
• Latency. Especially on books: the quote aged.
• MEV / sandwiches. A searcher buys before you and sells after, so you execute at a worse point on the curve (EEA; Batch C DEX). That shows up as slippage against you.

Market/spot price ≠ size-adjusted expected execution ≠ final execution. Price impact explains the first gap; slippage explains the second. A UI that calls the whole market-to-fill difference “slippage” is combining them.

Slippage tolerance

Wallets ask for a maximum acceptable slippage (for example 0.5% or 1%). In a typical exact-input AMM swap, the router encodes a minimum amount out. Uniswap v3’s router guide states directly that output below amountOutMinimum causes the transaction to revert. On Ethereum, the reverted swap leaves state unchanged but can still consume gas (see Gas fees).

That limit is protection, not a charge. Setting it very wide does not “pay more to the LP” in a clean way. It gives a sandwich more room to push you to the bound. Setting it very tight lets even a small state change or a busy block fail the trade.

This article does not recommend a number. Size, pair, and volatility decide what is sane.

Order books and AMMs both slip

| Setting | Typical quote | How a fill goes bad | | --- | --- | --- | | AMM pool | Simulated route (sometimes shown beside spot) | Quote misses impact; others trade first; sandwich | | Central limit book | Best bid/ask or VWAP estimate | Estimate misses depth; the book changes; the matcher delays | | Hybrid / RFQ | A signer’s firm quote | The signer backs out or the chain reorders around it |

A deep book can have less impact than a thin pool, and vice versa. “On-chain” does not mean “no slippage.”

Failed trades

On Ethereum-style AMMs, exceeding tolerance usually means revert: state unchanged, gas spent. On some order-book or RFQ systems you may get a partial fill instead. Read the venue. Partial fills are another way execution differs from the headline quote.

Zero measured slippage simply means actual execution matched the expected-execution benchmark. Deep liquidity, a firm quote or an auction can make that more likely, but none guarantees the outcome across every venue.

What this article is not saying

High tolerance is not “safer.” Low tolerance is not always “better.” Slippage is not a reason to pick a chain. It is a market-structure fact.