If you know the cost of slippage, you can do a much better job selecting the markets to trade and have a realistic appraisal of your trading expectations. The factors that make up slippage are volatility, overall market volume, current market activity, and the size of the order being placed. Of these items, current market activity is the most difficult to record, because it requires some estimation of volume as it accumulates throughout the day. While actual volume is not available for most markets, a reasonable approximation can be made using tick volume, the number of price changes during a fixed interval. In general, tick volume is directly proportional to actual trading volume; during periods of greater activity, both contract or share volume will increase along with the number of price changes. if you have carefully recorded the order price, execution price, volatility (daily high low), daily volume, time of day, and tick volume, you can find the importance of each factor and estimate the slippage for any trade.