Slippage

Definition

Slippage refers to the difference between the expected price of a trade (based on the current order book) and the actual price at which the trade is executed.

Name	MetricID	Unit	Interval
Order Book Slippage, 1K USD Order, Ask, Percentage	liquidity_slippage_1K_ask_percent	Dimensionless	1h
Order Book Slippage, 5K USD Order, Ask, Percentage	liquidity_slippage_5K_ask_percent	Dimensionless	1h
Order Book Slippage, 10K USD Order, Ask, Percentage	liquidity_slippage_10K_ask_percent	Dimensionless	1h
Order Book Slippage, 20K USD Order, Ask, Percentage	liquidity_slippage_20K_ask_percent	Dimensionless	1h
Order Book Slippage, 30K USD Order, Ask, Percentage	liquidity_slippage_30K_ask_percent	Dimensionless	1h
Order Book Slippage, 40K USD Order, Ask, Percentage	liquidity_slippage_40K_ask_percent	Dimensionless	1h
Order Book Slippage, 50K USD Order, Ask, Percentage	liquidity_slippage_50K_ask_percent	Dimensionless	1h
Order Book Slippage, 60K USD Order, Ask, Percentage	liquidity_slippage_60K_ask_percent	Dimensionless	1h
Order Book Slippage, 70K USD Order, Ask, Percentage	liquidity_slippage_70K_ask_percent	Dimensionless	1h
Order Book Slippage, 80K USD Order, Ask, Percentage	liquidity_slippage_80K_ask_percent	Dimensionless	1h
Order Book Slippage, 90K USD Order, Ask, Percentage	liquidity_slippage_90K_ask_percent	Dimensionless	1h
Order Book Slippage, 100K USD Order, Ask, Percentage	liquidity_slippage_100K_ask_percent	Dimensionless	1h
Order Book Slippage, 200K USD Order, Ask, Percentage	liquidity_slippage_200K_ask_percent	Dimensionless	1h
Order Book Slippage, 300K USD Order, Ask, Percentage	liquidity_slippage_300K_ask_percent	Dimensionless	1h
Order Book Slippage, 400K USD Order, Ask, Percentage	liquidity_slippage_400K_ask_percent	Dimensionless	1h
Order Book Slippage, 500K USD Order, Ask, Percentage	liquidity_slippage_500K_ask_percent	Dimensionless	1h
Order Book Slippage, 600K USD Order, Ask, Percentage	liquidity_slippage_600K_ask_percent	Dimensionless	1h
Order Book Slippage, 700K USD Order, Ask, Percentage	liquidity_slippage_700K_ask_percent	Dimensionless	1h
Order Book Slippage, 800K USD Order, Ask, Percentage	liquidity_slippage_800K_ask_percent	Dimensionless	1h
Order Book Slippage, 900K USD Order, Ask, Percentage	liquidity_slippage_900K_ask_percent	Dimensionless	1h
Order Book Slippage, 1M USD Order, Ask, Percentage	liquidity_slippage_1M_ask_percent	Dimensionless	1h
Order Book Slippage, 1K USD Order, Bid, Percentage	liquidity_slippage_1K_bid_percent	Dimensionless	1h
Order Book Slippage, 5K USD Order, Bid, Percentage	liquidity_slippage_5K_bid_percent	Dimensionless	1h
Order Book Slippage, 10K USD Order, Bid, Percentage	liquidity_slippage_10K_bid_percent	Dimensionless	1h
Order Book Slippage, 20K USD Order, Bid, Percentage	liquidity_slippage_20K_bid_percent	Dimensionless	1h
Order Book Slippage, 30K USD Order, Bid, Percentage	liquidity_slippage_30K_bid_percent	Dimensionless	1h
Order Book Slippage, 40K USD Order, Bid, Percentage	liquidity_slippage_40K_bid_percent	Dimensionless	1h
Order Book Slippage, 50K USD Order, Bid, Percentage	liquidity_slippage_50K_bid_percent	Dimensionless	1h
Order Book Slippage, 60K USD Order, Bid, Percentage	liquidity_slippage_60K_bid_percent	Dimensionless	1h
Order Book Slippage, 70K USD Order, Bid, Percentage	liquidity_slippage_70K_bid_percent	Dimensionless	1h
Order Book Slippage, 80K USD Order, Bid, Percentage	liquidity_slippage_80K_bid_percent	Dimensionless	1h
Order Book Slippage, 90K USD Order, Bid, Percentage	liquidity_slippage_90K_bid_percent	Dimensionless	1h
Order Book Slippage, 100K USD Order, Bid, Percentage	liquidity_slippage_100K_bid_percent	Dimensionless	1h
Order Book Slippage, 200K USD Order, Bid, Percentage	liquidity_slippage_200K_bid_percent	Dimensionless	1h
Order Book Slippage, 300K USD Order, Bid, Percentage	liquidity_slippage_300K_bid_percent	Dimensionless	1h
Order Book Slippage, 400K USD Order, Bid, Percentage	liquidity_slippage_400K_bid_percent	Dimensionless	1h
Order Book Slippage, 500K USD Order, Bid, Percentage	liquidity_slippage_500K_bid_percent	Dimensionless	1h
Order Book Slippage, 600K USD Order, Bid, Percentage	liquidity_slippage_600K_bid_percent	Dimensionless	1h
Order Book Slippage, 700K USD Order, Bid, Percentage	liquidity_slippage_700K_bid_percent	Dimensionless	1h
Order Book Slippage, 800K USD Order, Bid, Percentage	liquidity_slippage_800K_bid_percent	Dimensionless	1h
Order Book Slippage, 900K USD Order, Bid, Percentage	liquidity_slippage_900K_bid_percent	Dimensionless	1h
Order Book Slippage, 1M USD Order, Bid, Percentage	liquidity_slippage_1M_bid_percent	Dimensionless	1h

Details

Price slippage is the difference, represented as a percentage, between the quoted price of an asset and the execution price of a market order. The bid slippage metrics represent the price slippage of a market sell order. And the ask slippage metrics represent the price slippage of a market buy order. The slippage reflects how much the price of the asset moves when buying or selling into the market. For instance, if you are purchasing a quantity of $1,000 worth of the asset, the slippage metric tells you how much higher the price will be than the price you would expect if there was no slippage (i.e., based purely on the current bid-ask spread).

The metric is calculated using the following steps:

Convert the market order in U.S. dollars to units of the base asset for spot markets and units of the contract:

• $\text{Market Order Size (units)} = \frac{\text{Market Order Size (USD)}}{\text{Price of Base Asset (USD)}}$

• $\text{Market Order Size (contract units)} = \frac{\text{Market Order Size (USD)}}{\text{Contract Size} \times \text{Contract Size Asset (USD)}}$

Determine the cumulative bid or ask amount at increasing price levels including and above the best bid or ask. This is the total quantity of assets that are willing to be bought or available for sale at each price point:

• $L(n) = \sum_{i=1}^{n} Q_i$

Find the price at which a $X market order in U.S. dollars can be fully executed. This is done by consuming the bid or ask orders starting at the best bid or ask and moving up the order book until $X worth of orders are filled. In other words, find the smallest $n$ such that:

• $L(n) \geq \text {Market Order Size}$

Calculate the effective execution price as the volume-weighted average price of the orders that are required to fully execute the market order, taking into account that the last limit order that the market order matches with may only be partially executed:

• $P_{\text{exec}} = \frac{\sum_{i=1}^{n} P_i \min\left(Q_i, X - L(i-1) \right)}{\sum_{i=1}^{n} \min\left(Q_i, X - L(i-1) \right)}$

Calculate the slippage as the percentage difference between the effective execution price at which the order is executed and the midprice (the price you would expect without slippage):

• $\text{Liquidity Slippage } \$X \text{ Percent} = \left( \frac{\left| P_{\text{exec}} - P_{\text{midprice}} \right|}{P_{\text{midprice}}} \right) \times 100$

For example, let’s say an investor wishes to purchase 1 BTC at the best ask price of $25,000 and they submit a market order. The top of the order book has a sell order at this price for 0.25 BTC, so .25 BTC is purchased at $25,000 per BTC. The next order in the orderbook is for 0.5 BTC, but at a price of $25,250. This is executed and 0.5 BTC is purchased at $25,250 per BTC. 0.75 BTC has now been purchased, and 0.25 BTC remain. The investor completes his order at the next offer in the orderbook, 0.5 BTC for $25,500. As only 0.25 BTC are needed to complete the 1 BTC purchase, the investor fills 0.25 BTC at the price of $25,500 per BTC. The effective execution price of this purchase is the average price of the individual orders, weighted by quantity:

• $\frac{0.25\times\$25,000 + 0.5\times\$25,250 + 0.25\times\$25,500}{0.25 + 0.5 + 0.25} = \$25,250$

The slippage is the percentage difference in the market price and this execution price:

• $\frac{\$25,250-\$25,000}{\$25,000} = 1\%$

So this hypothetical purchase of 1 BTC incurred 1% slippage. If the trade size was different, then the slippage would change; that is, slippage is dependent on order size.

API Endpoints

Liquidity slippage metrics can be accessed using the following endpoints:

• timeseries/market-metrics

Market metrics

Returns metrics for specified markets.<br/> Results are ordered by tuple (market, time).<br/> To fetch the next page of results use next_page_url JSON response field.<br/>

get

/timeseries/market-metrics

Authorizations

Query parameters

marketsstring[]required

metricsstring[]required

Example: ["liquidations_reported_future_buy_units_1d","liquidations_reported_future_sell_units_1d"]

frequencystring · default: 1d

Frequency of the market metrics. Supported values are 1m, 5m, 1h, 1d.

start_timestring

Start of the time interval.<br/> This field refers to the time field in the response.<br/> Multiple formats of ISO 8601 are supported: 2006-01-20T00:00:00Z, 2006-01-20T00:00:00.000Z, 2006-01-20T00:00:00.123456Z, 2006-01-20T00:00:00.123456789Z, 2006-01-20, 20060120.<br/> Inclusive by default.<br/> UTC timezone by default. Z suffix is optional and timezone parameter has a priority over it.<br/> If start_time is omitted, response will include time series from the earliest time available.

end_timestring

End of the time interval.<br/> This field refers to the time field in the response.<br/> Multiple formats of ISO 8601 are supported: 2006-01-20T00:00:00Z, 2006-01-20T00:00:00.000Z, 2006-01-20T00:00:00.123456Z, 2006-01-20T00:00:00.123456789Z, 2006-01-20, 20060120.<br/> Inclusive by default.<br/> UTC timezone by default. Z suffix is optional and timezone parameter has a priority over it.<br/> If end_time is omitted, response will include time series up to the latest time available.

start_inclusiveboolean · default: true

Inclusive or exclusive corresponding start_* parameters.

end_inclusiveboolean · default: true

Inclusive or exclusive corresponding end_* parameters.

timezonestring · default: UTC

Timezone name for start_time and end_time timestamps.<br/> This parameter does not modify the output times, which are always UTC.<br/> Format is defined by TZ database.

Example: America/New_York

page_sizeinteger · int32 · min: 1 · max: 10000 · default: 100

Number of items per single page of results.<br/> The value of this parameter is ignored if the endpoint supports the format parameter and its value is set to json_stream.

paging_fromstring · enum · default: end

Where does the first page start, at the start of the interval or at the end.

Options: start, end

sortstring · enum · default: market

How results will be sorted. Metrics are sorted by (market, time) by default. If you want to sort 1d metrics by (time, market) you should choose time as value for the sort parameter.<br/> Sorting by time is useful if you request metrics for a set of markets.

Options: market, time

limit_per_marketinteger · int32

How many entries per market result should contain. It is useful when multiple markets are requested.

prettyboolean · default: false

Human-readable formatting of JSON responses.

formatstring · enum · default: json

Format of the response.

Options: json, csv

next_page_tokenstring

Token for receiving the results from the next page of a query.<br/> Should not be used directly. To iterate through pages just use next_page_url response field.

Responses

application/json

application/json

application/json

application/json

200

400

401

403

414

200

{
  "data": [
    {
      "market": "binance-BTCUSDT-future",
      "time": "2022-01-19T20:00:00.000000000Z",
      "liquidations_reported_future_buy_usd_5m": "1298.36866"
    },
    {
      "market": "binance-BTCUSDT-future",
      "time": "2022-01-19T20:10:00.000000000Z",
      "liquidations_reported_future_buy_usd_5m": "39713.60016"
    },
    {
      "market": "binance-BTCUSDT-future",
      "time": "2022-01-19T20:30:00.000000000Z",
      "liquidations_reported_future_buy_usd_5m": "29084.10932"
    },
    {
      "market": "binance-BTCUSDT-future",
      "time": "2022-01-19T21:00:00.000000000Z",
      "liquidations_reported_future_buy_usd_5m": "46294.99528"
    }
  ]
}

Time series of market metrics.

Shell

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-metrics?markets=coinbase-btc-usd-spot&metrics=liquidity_slippage_100K_ask_percent&frequency=1h&limit_per_market=1&api_key=<your_key>"

Python

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/market-metrics?markets=coinbase-btc-usd-spot&metrics=liquidity_slippage_100K_ask_percent&frequency=1h&limit_per_market=1&api_key=<your_key>').json()
print(response)

Python Client

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_market_metrics(
        markets=["coinbase-btc-usd-spot"], metrics=['liquidity_slippage_100K_ask_percent'], frequency='1h', limit_per_market=1
    ).to_dataframe()
)

Examples

A sample of the liquidity slippage percentage for a $100K buy order on the coinbase-btc-usd-spot market is shown below:

{
  "data" : [ {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T20:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.038994542840022156"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T21:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.02565041632600015"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T22:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.023751750174591604"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T23:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.012357077898177927"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-05T00:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.004505088323999404"
  } ]
}

• market: The id of the markets.

• time: The time in ISO 8601 date-time format.

• liquidity_slippage_100K_ask_percent: The percent slippage of a $100K buy order executed at this time in this market.

Frequently Asked Questions

Why are some of the values for some slippage metrics and observations missing?

Coin Metrics calculates slippage metrics from order book snapshots obtained from centralized exchanges. Coin Metrics will obtain the deepest and most complete order book snapshot that the exchange offers — however, the order book depth allowed varies by exchange.

If the order book depth for a market is insufficient to calculate a particular slippage depth metric for a $X market order, Coin Metrics will assign a null value to the observation. The null value was chosen instead of using the available depth to calculate a value (even if the order book depth is insufficient to calculate a value for a given order size) to provide transparecy to the user that the order book depth is too shallow. If a non-null value is desired, it is recommended to select a metric with a smaller $X order size.

For more information on the available order book depth by exchange, please see Are there any limitations to the order book depth provided by each exchange? Please note that some exchanges only provide an order book with very shallow depth, such as the top 100 levels. Therefore, a large number of nulls can be expected from markets from these exchanges.

How often are the metrics calculated?

The depth metrics are calculated once an hour.

Release History

• Release Version. Market Data Feed v2.8 on May 2023.