A slippage budget needs a reference price and side

A slippage budget bounds adverse execution relative to a named reference price. We would compile the reference timestamp, side and price source together with the budget. The percentage alone cannot identify which fill prices the owner authorized.

In an illustrative buy, the reference price is $100 and the adverse tolerance is 0.4%. The maximum permitted price is $100.40. For a sell at the same reference, the minimum is $99.60. A $100.30 buy sits inside the stated price budget; a $100.50 buy lies outside it. These values are a arithmetic fixture, independent of any actual venue fill.

Preserve the reference through normalization

A quote can mean midprice, best opposing quote or another explicitly selected benchmark. Using a midpoint includes spread crossing inside measured adverse movement; using the ask for a buy begins after that spread component. We would select one definition and preserve it in the trace so later analysis avoids comparing different benchmarks.

Fees and funding stay separate unless the owner explicitly defines an all-in cost constraint. A fill inside the price tolerance can still be expensive after fees. Conversely, a fee-aware decision threshold supplies no execution-price ceiling unless it is translated into one.

Our proposed fixture normalizes a limit price to the venue tick and then checks the final value against the original budget. With a $0.25 tick, rounding a $100.40 buy ceiling upward to $100.50 would expand authorization. A conservative permitted buy limit is $100.25 under this simplified fixture. The exact adapter policy should be declared, and an inability to form an admissible order should produce an explicit result.

The replay includes a stale reference, missing timestamp and a sell with the inequality accidentally reversed. It should also distinguish the pre-submission price restriction from realized average execution across multiple fills. Review records can contain both the authorized bound and observed execution, with quantities and fill identities.

We would evaluate budget enforcement before claiming improved execution economics. A passing calculation shows that the payload respected the selected reference and tolerance. Whether the choice produces useful fills depends on liquidity, timing and the broader decision policy.

Our mandate compiler provides the wider instruction-to-action framework for this execution price bound. The published controls research supplies its historical background. DXAP publicly describes the corresponding separation between model proposals and external policy checks.