How I Think About Slippage in Futures

A planned entry price is not always the price I receive.

During fast markets, around news, or when liquidity is thin, an order may fill at a less favorable price. Stops can also experience slippage.

That means risk calculations should not assume perfect execution every time.

I consider market conditions, order type, contract size, and the possibility of worse-than-expected fills.

A strategy that only works with ideal fills may be less robust than its backtest suggests.