The Slippage Problem: How Deep Liquidity Really Works
Slippage isn't random noise - it's a direct readout of order book depth. Understanding the mechanics changes how you think about execution quality.
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Slippage isn't random noise - it's a direct readout of order book depth. Understanding the mechanics changes how you think about execution quality.
Orders seem to fill at the worst possible moment because of how market structure, liquidity, and execution mechanics interact - not random chance.