Thin order books and slippage
An empty or thin order book is one of the most underappreciated risks on Kalshi. It can quietly hand you a far worse price than the number on your screen, and it is entirely avoidable once you know what to look for.
Here is how it happens and how to protect yourself.
What slippage actually is
Slippage is the gap between the price you expected and the price you got. It happens when your order is larger than the contracts available at the best price, so it fills through progressively worse levels. You see 65 cents, but you fill 100 at 65, 150 at 66, and 250 at 67, for an average above the quote.
Thin books make it worse
In a market with little trading, there may be only a handful of contracts at each price and big gaps between levels. A market order into that kind of book can jump several cents in a single trade. The thinner the book, the more your own order moves the price against you.
How to protect your fills
Use limit orders so your price cannot run away from you; if the book is too thin to fill at your price, you simply wait rather than overpay. Check the depth before sizing a trade. And take advantage of Kalshi's slippage tolerance setting, which caps how far your fill price can stray from the quote.
Patience beats thin liquidity
In thin markets, breaking a big order into smaller pieces, or resting a limit order and letting others come to you, usually beats blasting a market order through the book. The contracts you save on slippage are pure profit you would otherwise have given away.