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Guides · 4 min read
Spread and slippage: the trading costs fee tables miss
See how bid-ask spread, market impact and execution slippage add to fees and funding when you open and close a crypto position.
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A fee schedule tells you what the exchange charges for an execution. It does not tell you the price at which the execution will happen. Bid-ask spread and slippage can exceed the published fee, especially in a thin market, during volatility or when the order is large relative to available depth.
What is the bid-ask spread?
The best bid is the highest resting buy price; the best ask is the lowest resting sell price. Their difference is the quoted spread. A trader who buys immediately at the ask and sells immediately at the bid crosses that spread even if the midpoint does not move.
spread = best ask − best bid spread % ≈ spread ÷ midpoint
If BTC has a $60,000 bid and a $60,006 ask, the quoted spread is $6, or roughly 0.0100% of the midpoint. An immediate buy and sell loses roughly the full $6 per BTC before trading fees.
What is slippage?
Slippage is the difference between the reference price used for a decision and the average executed price. A market order can consume several price levels, making its average fill worse than the best quote visible at submission. The order itself creates market impact; latency and other traders changing orders can add further slippage.
Slippage is directional. A market buy typically fills above the reference price and a market sell below it. That means both entry and exit can work against the trader. Historical averages can help with planning, but a fixed slippage assumption is not reliable during a fast market.
How to estimate the full cost of a round trip
round-trip cost ≈ entry fee + exit fee
+ entry slippage + exit slippage
+ funding paid − funding received
For a quick estimate, express every part as a percentage of the position value and add it once for each trade that incurs it. A 0.05% taker fee on entry and exit is already 0.10%. If spread and slippage total another 0.08%, the execution round trip costs about 0.18% before funding. On a $50,000 position, that is $90.
Worked example: the same trade at two sizes
Suppose a contract quotes a 0.02% spread, and the order book holds about $40,000 within 0.05% of the midpoint on each side. A $10,000 market buy fits inside that depth: it pays roughly half the spread, 0.01% of the midpoint, plus the taker fee.
A $200,000 market buy has to work through several price levels. If its average fill ends up 0.12% above the midpoint, slippage alone costs $240 on entry, and a similar amount again on exit. The fee table treats both orders the same: a 0.05% taker fee on $200,000 is $100. For the large order, execution costs more than twice the published fee.
These figures are an illustration, not a quote for any contract. The point is that the size you trade matters as much as the exchange you choose, and that a fee comparison alone can rank exchanges in the wrong order for a large order.
Spreads differ by contract and exchange
Spreads are tightest on the most traded contracts and widen quickly on smaller ones, and the same contract can have a noticeably tighter book on one exchange than on another. Each contract page on vibgg shows the quoted spread on every exchange that lists it, next to the funding and fee figures, so the cheapest exchange on paper can be checked against the price you can actually trade at.
How to reduce execution cost
- Compare visible depth at the size you intend to trade, not only the top-of-book spread.
- Break large orders into smaller pieces when urgency permits, while accounting for price risk between fills.
- Use limit or post-only orders when missing the trade is acceptable.
- Do not assume the exchange with the lowest fee also gives the best price you can actually trade at.
- Record expected and actual average prices so future assumptions reflect your own order sizes.
Use the futures fee tables for the published part of the cost, then the futures trading cost calculator to add funding and the quoted spread. For large orders, add your own slippage estimate on top.