Price slippage is the difference, often represented as a percentage, between the quoted price of an asset and the execution price of a market order. There can be many causes for slippage, but the primary cause is the size of a trade with respect to the composition of the limit orderbook. The bid slippage metrics represent the price slippage of a sell order. And the ask slippage metrics represent the price slippage of a buy order.

Let’s say an investor wishes to purchase 1 BTC at the best ask price of $25,000 and they submit a market order. The top of the order book has a sell order at this price for 0.25 BTC, so .25 BTC is purchased at $25,000 per BTC. The next order in the orderbook is for 0.5 BTC, but at a price of $25,250. This is executed and 0.5 BTC is purchased at $25,250 per BTC. 0.75 BTC has now been purchased, and 0.25 BTC remain. The investor completes his order at the next offer in the orderbook, 0.5 BTC for $25,500. As only 0.25 BTC are needed to complete the 1 BTC purchase, the investor fills 0.25 BTC at the price of $25,500 per BTC. The effective execution price of this purchase is the average price of the individual orders, weighted by quantity:

$\frac{0.25\times\$25,000 + 0.5\times\$25,250 + 0.25\times\$25,500}{0.25 + 0.5 + 0.25} = \$25,250$

The slippage is the percentage difference in the market price and this execution price:

$\frac{\$25,250-\$25,000}{\$25,000} = 1\%$

So this hypothetical purchase of 1 BTC incurred 1% slippage. If the trade size was different, then the slippage would change; that is, slippage is dependent on order size.

API Endpoints

Liquidity slippage metrics can be accessed using the following endpoints:

timeseries/market-metrics

curl --compressed "https://api.coinmetrics.io/v4/timeseries/market-metrics?markets=coinbase-btc-usd-spot&metrics=liquidity_slippage_1K_ask_percent&frequency=1h&limit_per_market=1&api_key=<your_key>"

import requests
response = requests.get('https://api.coinmetrics.io/v4/timeseries/market-metrics?markets=coinbase-btc-usd-spot&metrics=liquidity_slippage_1K_ask_percent&frequency=1h&limit_per_market=1&api_key=<your_key>').json()
print(response)

from coinmetrics.api_client import CoinMetricsClient

api_key = "<API_KEY>"
client = CoinMetricsClient(api_key)

print(
    client.get_market_metrics(
        markets=["coinbase-btc-usd-spot"], metrics=['liquidity_slippage_1K_ask_percent'], frequency='1h', limit_per_market=1
    ).to_dataframe()
)

Examples

A sample of the liquidity slippage percentage for a $100K buy order on the coinbase-btc-usd-spot market is shown below:

{
  "data" : [ {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T20:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.038994542840022156"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T21:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.02565041632600015"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T22:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.023751750174591604"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-04T23:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.012357077898177927"
  }, {
    "market" : "coinbase-btc-usd-spot",
    "time" : "2023-05-05T00:00:00.000000000Z",
    "liquidity_slippage_100K_ask_percent" : "0.004505088323999404"
  } ]
}

market: The id of the markets.\
time: The time in ISO 8601 date-time format.\
liquidity_slippage_100K_ask_percent: The percent slippage of a $100K buy order executed at this time in this market.

Release History

Release Version. Market Data Feed v2.8 on May 2023.

PreviousOrder Book Depth NextMarket Metadata

Last updated 9 months ago

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{ "data": [ { "market": "binance-BTCUSDT-future", "time": "2022-01-19T20:00:00.000000000Z", "liquidations_reported_future_buy_usd_5m": "1298.36866" }, { "market": "binance-BTCUSDT-future", "time": "2022-01-19T20:10:00.000000000Z", "liquidations_reported_future_buy_usd_5m": "39713.60016" }, { "market": "binance-BTCUSDT-future", "time": "2022-01-19T20:30:00.000000000Z", "liquidations_reported_future_buy_usd_5m": "29084.10932" }, { "market": "binance-BTCUSDT-future", "time": "2022-01-19T21:00:00.000000000Z", "liquidations_reported_future_buy_usd_5m": "46294.99528" } ] }

Definition

Details

0.25×$25,000+0.5×$25,250+0.25×$25,5000.25+0.5+0.25=$25,250\frac{0.25\times\$25,000 + 0.5\times\$25,250 + 0.25\times\$25,500}{0.25 + 0.5 + 0.25} = \$25,2500.25+0.5+0.250.25×$25,000+0.5×$25,250+0.25×$25,500​=$25,250

API Endpoints

Examples

Release History

Market metrics

$\frac{0.25\times\$25,000 + 0.5\times\$25,250 + 0.25\times\$25,500}{0.25 + 0.5 + 0.25} = \$25,250$