Why execution quality varies by asset and order size.
Liquidity is the ability to trade without materially moving price. Slippage is the difference between the expected price and actual execution price.
| Concept | Explanation | |---|---| | Depth | How much quantity is available near the current market price. | | Spread | Immediate difference between available buy and sell prices. | | Turnover | How actively the asset trades. | | Market impact | How much an order itself changes the price. | | Slippage | Execution difference caused by fast movement, limited depth, or order size. |
An asset can show high reported volume yet still offer poor liquidity at a particular venue or order size. Execution quality depends on the order book or liquidity pool at the moment of the trade.