shares now, then you must use a market order and you will incur slippage by doing so. Using a market order to purchase your 20,000 shares would yield the following executions (assuming no hidden orders in the market depth): Buy 2800 @ $151.08 Buy 1100 @ $151.08 Buy 3800 @ $151.09 Buy 900 @ $151.10 Buy 3700 @ $151.11 Buy 1200 @ $151.12 Buy 3700 @ $151.13 Buy 200 @ $151.14 Buy 1000 @ $151.15 Buy 400 @ $151.18 Buy 100 @ $151.22 Buy 600 @ $151.24 Buy 500 @ $151.25 (only 500 shares out of the 2000 being offered at this price point are executed, because this will represent our entire 20,000 share order) The average purchase price of the above execution is $151.11585. The difference between the current ASK price ($151.08) and the average purchase price ($151.11585) represents the slippage. In this case, the cost of slippage would be calculated as follows: 20,000 X $151.08 - 20,000 X $151.11585 = $-717.00 Reverse slippage Reverse slippage, as described by Taleb, occurs when the purchase of a large position is done at increasing prices, so that the mark to market value of the position increases. The danger occurs when the trader attempts to exit their position. If the trader manages to create a squeeze large enough then this phenomenon can be profitable. This can also be considered a type of market making. Further reading See also Implementation shortfall References Stock market Futures markets