Slippage Quant Interview Guide
Slippage quant interview guide covering expected price, realized price, spread, impact, delay, examples, controls, and benchmark choice.
Candidates evaluating the difference between intended and realized execution.
Slippage compares intended and realized execution
Slippage is the gap between a benchmark or expected price and the actual execution price, after timing and trade direction are defined.
Benchmark choice matters
Arrival price, decision price, midquote, VWAP, close, or previous mark can each produce a different slippage number for the same fills.
Concrete example
A buy decision at 100 that fills at 100.20 has 20 cents of adverse slippage versus arrival before fees and opportunity costs.
Drivers include spread, impact, and delay
Slippage can come from crossing the spread, walking the book, market impact, latency, alpha decay, or prices moving during execution.
Common mistakes
Candidates often measure slippage without saying the benchmark. Without a clear benchmark, execution quality is not well defined.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.