Wicks, Slippage and Liquidity
How abnormal wicks, slippage and liquidity shortages affect Turtle-style stops and execution.
Real execution can differ from chart logic. A stop price on a chart does not guarantee an exact fill, especially in thin or stressed markets.
Slippage
Slippage is the difference between intended execution and actual execution. It can be small in liquid markets and severe during gaps, news events or liquidation cascades.
Abnormal wicks
Crypto markets sometimes show sharp wicks on one exchange that do not appear elsewhere. A system should define whether exchange-specific wicks are valid, how they are reviewed and whether the market remains eligible.
Liquidity checks
Before including a market, review spread, depth, volume and expected order size. A historical breakout is not useful if the system cannot enter or exit without excessive impact.