Bid, ask, spread and slippage: what happens when you click buy
Why your fills are rarely the price on the chart: the bid and ask, the spread, liquidity, the order book, volume and slippage, with what each one costs a futures trader.
You click buy at 21,500 and get filled at 21,500.50. Nothing went wrong. You just met the bid, the ask and the spread, three words that explain why your fills are rarely the exact price on the chart. Once you understand them, you'll also understand slippage, liquidity and why the same trade costs more at 3 AM than at 10 AM.
Bid and ask
- Bid: the highest price someone is currently willing to pay.
- Ask (or offer): the lowest price someone is currently willing to sell at.
If you buy at market, you pay the ask. If you sell at market, you get the bid. The price on your chart is usually the last trade, which can be either one.
The spread
The spread is the gap between the bid and the ask. In busy futures like the E-mini S&P 500 (ES) or Micro Nasdaq (MNQ), it's usually just one tick during the main session. One tick sounds like nothing, but it's a real cost every time you trade at market:
| Contract | One tick | Cost of a 1-tick spread per contract |
|---|---|---|
| ES | 0.25 points | $12.50 |
| MES | 0.25 points | $1.25 |
| NQ | 0.25 points | $5.00 |
| MNQ | 0.25 points | $0.50 |
Buy at market and you start the trade a tick behind: you paid the ask, but the best you could sell for right away is the bid. Every round trip at market costs you that spread. Add your commissions and fees, and a scalper who takes 20 trades a day is paying a lot just to play. That's one reason overtrading hurts so much.
Liquidity and the order book
Liquidity is how many contracts are waiting to be bought or sold near the current price. A liquid market has lots of orders at every price, so even a large order barely moves it. You can see this on the order book, often shown as the DOM (depth of market) or Level 2: a ladder of prices with the number of contracts waiting at each one.
Liquidity changes during the day. It's usually deepest during the regular US session and thinnest overnight, around holidays and in the seconds around big news. Thin liquidity means wider spreads and bigger jumps. See futures market hours for when each session runs.
Slippage
Slippage is the difference between the price you expected and the price you got. It mostly hits market and stop orders, because they take whatever price is available.
Example: you're long MNQ with a sell stop at 21,500. A news headline drops price fast, and the first available bid after your stop triggers is 21,497. You're filled 3 points lower than planned: 3 points × $2 = $6 more lost per contract. On 10 contracts, that's $60 the plan didn't include.
Slippage isn't a mistake by your broker. It's the price of a guaranteed exit in a fast market. Plan for it, especially near your prop firm's max loss.
Volume
Volume is the number of contracts traded in a period. High volume usually means good liquidity and tighter fills. Volume also tells you where the market did most of its business, which is the idea behind volume profile.
What this means for prop traders
- Leave room above your max loss. If a stop slips, your loss can be bigger than planned, and the firm counts the real fill, not your stop price.
- Be careful around news. Spreads widen and stops slip the most then. Many firms also have news rules.
- Count your real costs. Spreads, slippage, commissions and fees all come out of your profit target.
Track it in your journal
Compare where you meant to get out with where you actually did. If your stops regularly slip several ticks, you may be trading at thin times or holding through news. Market Matrix imports your real fills and fees, so your net P&L includes every cost, and Insights shows which times of day pay you best.
This article is for education only and isn't financial advice. Tick values are from the exchange's contract specs; spreads and liquidity vary with market conditions. Trading futures involves substantial risk of loss.