Slippage forecasting

Walking the same ladder at many sizes produces a slippage curve rather than a point. The curve answers the question a trader actually has, which is rarely "what does this cost" and usually "how much can I move before this stops being worth it".

Curves are not linear and are frequently not smooth. A book with a wall of liquidity at 25 bps and nothing behind it is flat then vertical, and the size where it turns is the only number that matters for sizing.

Past the last observed band the curve stops rather than continuing. Extrapolating a slippage curve into unmeasured depth is how a model produces a confident number for a trade nobody can actually do.