[artursapek]

It shouldn't require price history. You just need the order book and you can simulate the execution of any order, and figure out its average price.

If the average price is X basis points worse than the current top of book, that's slippage. So eg if highest bid in book is $100 and you are entering a sell order that would eat so much of the book that it would fill with an average price of $70, that's 30% slippage and probably not what you meant to do.

[gpderetta]

You need to have a book in the first place though. If the instrument is highly illiquid the spread might be huge and the price have little real world relevance.

For liquid books, yes definitely I would expect these sort of checks (tipically against historical prices) to be in place.

[artursapek]

Uh yeah if you don't even have a reasonably liquid order book then yes your price action will suck no matter what lol