Direct answer
Slippage around news is the difference between the price you expect to get when you place an order and the price you actually receive when the order is filled. The “around news” part matters because fast-moving announcements (for example, scheduled economic releases) often increase volatility and reduce immediate liquidity, which can cause executions to occur at less favorable prices.
Mechanism: a simple model of what changes
To understand slippage, separate two ideas: the price at which an order rests and the price at which it is filled.
When markets are calm, a quoted price may stay close to where your order executes. Around major news, several stable mechanics can make outcomes diverge:
- Liquidity and depth can thin out. With fewer willing buyers and sellers at specific price levels, your order may not find enough volume at the expected price.
- Bid–ask spreads can widen. The spread is the gap between the best buying and selling prices. A wider spread means your trade, even if it executes immediately, may clear at a less favorable price.
- Order flow can jump. If many participants react at once, the market can “walk” through price levels quickly. Your order then fills at the next available prices.
- Execution type matters. A market order prioritizes getting filled quickly, while a limit order prioritizes a specific price. When price moves quickly, prioritizing speed can increase slippage, while prioritizing price can increase the chance of not filling.
A key point is that slippage is not a single cause; it is the observable result (the fill-price difference) of changing trading conditions.
Evidence or example (with clear assumptions)
Example setup (assumptions stated so you can check the logic):
- You intend to buy at 1.1000 because you see it as the “reference” or last price when you click.
- The order is filled moments later.
- After the news release, the best available offers on the order book move away from 1.1000.
In that case, your actual fill might occur at 1.0996. The slippage relative to your reference is 1.1000 − 1.0996 = 0.0004 (40 “points,” depending on how you measure). If instead the fill happened at 1.1002, slippage would be negative relative to your reference (favorable rather than unfavorable).
This illustrates what slippage measures: what you expected vs. what actually filled, not the volatility itself.
Limitations and common failure modes
- Reference price confusion. Different people use different “expected” prices: last traded price, mid-price, bid/ask quote, or a limit level. Slippage calculations depend on which reference you choose.
- Order type effects. With limit orders, slippage may be less relevant if the order does not fill; the failure mode becomes “no execution” rather than “bad price.”
- Spreads vs. slippage. Widening spreads can look like slippage, but they are conceptually distinct: the spread is a quoted market condition; slippage is the realized execution difference.
- Out-of-sample thinking. Past reactions around earlier announcements do not guarantee future slippage levels. Liquidity conditions, participation, and volatility regimes change.
- No real-time certainty. Without access to execution-level data (order book snapshots and broker/platform fill records), you cannot reliably measure slippage for a specific event.
Verification: how you can check it independently
You can verify slippage around news by using execution records you already have:
- Pick a reference price rule (for example, the last price at order submission, or your intended entry level).
- For each relevant trade, compute fill price − reference price (and use the sign to interpret favorable vs. unfavorable).
- Compare results on high-volatility announcement windows vs. quiet periods.
If the difference systematically increases during announcements, that is evidence of slippage effects—but you still must account for reference choice, order type, and whether orders filled at all.