Textbook position sizing assumes clean fills: you buy at your price, you exit at your stop or target, the math is exact. Real trading adds two frictions the math ignores — the bid-ask spread and slippage — and they quietly shrink your winners, enlarge your losers, and erode your expectancy. Baking them in makes your numbers honest.
Where the costs hide
You typically buy at the ask and sell at the bid, so you pay the spread on entry and exit — a round-trip cost that's fixed per contract and bites hardest on cheap options and small accounts. Slippage adds more: your stop fills a little past your level, your market order moves in a fast tape, a too-large order walks the price. None of this appears in the clean sizing formula, yet all of it comes out of your account.
Baking it into the math
Two adjustments. First, in sizing: treat your realized loss on a stop-out as the stop distance plus expected slippage and half-spread, and size so that fuller number fits your risk budget (this overlaps with sizing off the worst case). Second, in expectations: subtract round-trip spread + slippage from every trade when you estimate your edge, because a strategy that looks profitable on clean fills can be a loser after realistic costs — especially a high-frequency scalping approach where the costs recur constantly.
Frictionless math flatters every strategy. Subtract the spread and slippage on every round trip and some “edges” vanish — better to find that out on paper than in your account.
Minimizing what you can
You can't eliminate these costs, but you can shrink them: trade liquid, tight-spread strikes, work orders toward the mid instead of paying full spread, and avoid the widening spreads into the close. NoVo's adaptive routing is built to reduce exactly this friction on entries and exits — because in scalping, the spread and slippage you save go straight to your bottom line.