Slippage

The difference between the expected execution price of a trade and the actual fill price, typically due to market movement during the time between order submission and execution. Slippage occurs in all markets but is particularly pronounced during high-volatility periods or for large orders. For example, expecting a fill at $100 but receiving $100.15 represents $0.15 per share of slippage. Slippage reduces net returns and is a key consideration in evaluating algorithmic trading systems.