What Is the Impact of Market Depth on the Severity of Slippage?

Market depth refers to the total volume of buy and sell orders at various price levels away from the best bid and ask. High market depth indicates that a large order can be absorbed without significantly moving the price, thus resulting in low slippage.

Conversely, low market depth means a large order will quickly consume available liquidity, forcing execution at progressively worse prices and leading to high slippage.