Slippage

Slippage is the difference between the price expected when an order is submitted and the price at which it actually executes. It commonly arises with market orders in fast-moving or thin markets: as an order consumes available liquidity, later portions fill at progressively worse prices, so the average differs from the top-of-book price first seen.

Slippage can be negative (worse) or, less often, positive (better) if prices move favourably before filling. It reflects the state of liquidity and timing, not a charge levied by the venue. Larger orders relative to available depth tend to experience more slippage, and setting a limit price is one way traders cap it.