คำนิยาม
Slippage
The difference between expected and actual fill price.
Slippage คือความแตกต่างระหว่างราคาที่คุณคาดว่าจะรับเมื่อสั่งคำสั่งและราคาที่คำสั่งนั้นถูกเติมจริง ในตลาดที่ใช้ CLOB เช่น Polymarket คำสั่งตลาดหรือคำสั่งแบบ FAK (Fill‑And‑Kill) อาจถูกจับคู่กับคำสั่งที่รอหลายรายการ; หากหนังสือคำสั่ง (order book) เคลื่อนขณะคำสั่งของคุณกำลังถูกเติม คุณอาจได้รับราคาเฉลี่ยที่แย่กว่าที่ตั้งใจไว้ — ความต่างนี้เรียกว่า slippage
Key mechanics on Polymarket
- FAK orders include automatic slippage protection. The CLOB SDK's market-order helper submits a FAK that executes immediately for available liquidity and cancels any unfilled remainder. If the order would cross a price threshold you set (or the SDK's default), the relayer cancels rather than taking a larger loss.
- Tick size and tightness matter. When tick size tightens (near-price extremes) the discrete price increments change, which can affect how much slippage you experience for a given order size.
- Partial fills are a common source of slippage. A large FAK against a thin book will consume multiple levels of liquidity and produce an average fill price worse than the midpoint or the initial best ask.
Why slippage matters for arbitrage
If you rely on the arithmetic edge (for example, buying both legs in a binary or buying a full set in a multi‑outcome market), slippage can erode or eliminate that edge. The theoretical edge equals $1.00 minus the sum of best asks; once you submit market/FAK orders, realized fill prices can be higher than the displayed best asks, reducing profit or turning a positive edge into a loss.
Risks to remember
- Resolution and oracle disputes (UMA) can affect eventual settlement timing and value.
- Fee changes or unexpected taker fees increase effective slippage.
- Smart‑contract and relayer failures can delay or prevent intended fills.
How slippage appears in the UI and API
- In the trading UI a FAK will show as executed or cancelled; if cancelled because the book moved, that is the slippage protection doing its job.
- Via the CLOB API or Market WebSocket, you can monitor best_bid_ask and last_trade_price events to estimate how much the book moved between order creation and execution.
See also
- /glossary/fak — Fill‑And‑Kill orders and how they limit slippage
- /glossary/leg-risk — The per‑leg exposure that matters when one side fills and the other does not