Slippage during news
Family VII · Market & styles
Not to be confused with slippage, news trading.
Slippage during news is the gap between the price a trader expects on an order and the price actually filled when a scheduled economic release causes quotes to gap or liquidity to thin. It is a normal feature of order execution in fast markets, not a malfunction, and it can work in the trader's favour as well as against it. The size of the gap depends on the instrument, the venue, the order type and prevailing liquidity at the moment of release.
Why news produces slippage
Economic releases such as interest-rate decisions, inflation prints and employment reports are published at pre-announced times. Within milliseconds, resting orders are cancelled, new orders arrive and the best bid and offer can move several ticks before a market order is matched. A market order fills at the best available price after that move, so the fill differs from the quote seen at submission.
Slippage tends to be larger when liquidity is thin, when the release surprises consensus, and when the instrument is quoted with a wide spread. It is generally smaller for limit orders, which cap the price but may not fill at all.
Worked example
Factors that vary
The typical magnitude of news slippage is not a fixed number. It varies by broker and execution model, by whether the venue is a regulated exchange or an over-the-counter dealer, by the instrument's liquidity, and by the specific release. Some brokers publish execution statistics; others do not. Traders comparing accounts should treat any single quoted figure as specific to that venue and period.
Often confused with
- slippage
- Slippage is the general difference between expected and executed price in any fast or thin market, whereas slippage during news is that difference specifically triggered by a scheduled data release; the visible sign is whether the fill gap coincides with a known publication time.
- news trading
- News trading is a strategy of taking positions around scheduled releases, while slippage during news is an execution outcome that can affect any order sent into that period; the visible sign is that one describes intent and the other describes the resulting fill.