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Market Orders and Slippage Tolerance

Market Orders execute immediately against available liquidity on the opposite side of the order book. They require at least some depth on the opposite side, otherwise nothing fills. When you submit a Market Order, Outcome uses two key values:
  • Expected Price
  • The best available price shown in the order ticket at the moment you submit the order.
  • Slippage Tolerance
  • How far you are willing to move away from the Expected Price. The default is 8 percent and you can change this in the Trading Panel (Market).
    • Order book diagram

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    Price cap per level

    For buys and sells, Outcome converts your Market Order and slippage tolerance into a hard worst price.

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    Hard Price Slippage (cents)

    S = max slippage tolerance (c). Default S = 20c
    Bounds: 0.1c to 99.9c Tick size: 0.1c

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    Market Buy

    maxAcceptedPrice = min(99.9c, bestAsk + S)

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    Market Sell

    minAcceptedPrice = max(0.1c, bestBid - S)

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    Example

    bestAsk 50c, next ask 65c, S = 14c → maxAcceptedPrice 64c → 65c will not fill The matching engine then sweeps the order book level by level:
    1. Start from the best price on the opposite side.
    2. Fill against each price level that is inside your cap
  • Buys only fill at prices less than or equal to Max Price.
  • Sells only fill at prices greater than or equal to Min Price.
    1. Stop as soon as the next price level would be outside your cap.
    2. Any remaining size that was not filled will stay on the book as a Limit order at your last fill price.

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    Execution price and displayed slippage

    If your Market Order fills across multiple price levels, Outcome calculates a single execution price using VWAP. Execution Price (VWAP)=∑(pricei×sizei)∑sizei\text{Execution Price (VWAP)} = \frac{\sum (\text{price}_i \times \text{size}_i)}{\sum \text{size}_i}
    Displayed slippage is then:
    Slippage Percent=Execution Price−Expected PriceExpected Price×100\text{Slippage Percent} = \frac{\text{Execution Price} - \text{Expected Price}}{\text{Expected Price}} \times 100

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    This gives you:

    • A hard protection level on each individual fill price.
    • A single average execution price across all fills.
    • A clear slippage percentage relative to the price you saw when you clicked trade.