Slippage

Slippage is the difference between the price you expected and the price you actually got filled at. It happens because the market keeps moving between the moment you send the order and the moment it hits the matching engine, and because large orders "walk" through several levels of the order book instead of filling entirely at the top. Biggest during news events (thin books, fast prints) and in illiquid assets (few levels to absorb size). Market orders pay slippage every time; limit orders trade slippage risk for the risk of not filling at all.