Slippage

Slippage is the difference between the price you expected to get on a trade and the price you actually got. It happens between the moment you decide to trade (or your order is triggered) and the moment it actually fills, because prices can move in that gap or because there isn't enough size sitting at the price you wanted.

Every order has to match against someone else's opposite order. If you're buying, you're matched against sell orders; if there aren't enough shares offered at the price you expected, your order "walks up" the order book, filling some shares at slightly higher prices until it's complete. That difference between your expected fill and your average fill price is slippage. It can also happen with market orders during fast-moving news, or with stop orders that trigger and then fill well past the stop price because the market gapped through it.

The nuance beginners miss is that slippage isn't just "the bid-ask spread" — the spread (the gap between the highest price buyers are offering and the lowest price sellers are asking) is one source of slippage, but slippage also comes from order size relative to available liquidity, and from pure speed: in a fast market, the price you see on your screen may already be stale by the time your order reaches the exchange. Slippage can also work in your favor occasionally, filling you at a better price than expected, though traders mostly notice it when it goes against them.

Slippage tends to be small and consistent in liquid, high-volume instruments and can be large and unpredictable in thin, low-volume ones or during volatile news events, which is why traders who care about execution quality favor products with deep order books and tight spreads.