Slippage
The difference between the price you expected to trade at and the average price you actually received.
Slippage is the gap between the expected execution price, often the price when an order was placed, and the average price at which it fills. It arises from the spread, thin liquidity and price movement while the order is working. Slippage can also be favorable when the price moves the other way.
On our site, slippage is best read as a measure of execution cost. Compare it across order sizes and times of day rather than as a single number.
Traders care because for large or fast orders, slippage often exceeds fees and can erase a thin edge. Limit orders and smaller slices reduce it, at the cost of fill certainty.
Worked example (illustrative numbers, not real data): a trader expects to buy 10,000 shares at 50.00. The order fills at an average of 50.06 because it consumed several price levels. Slippage is 0.06 per share, or 600 dollars in total, before commissions.