Slippage
The difference between the price you expected when you sent an order and the price you actually got when it filled. Slippage has three mechanical sources: paying the spread (the half-spread cost of crossing the quote), walking the book (filling through multiple price levels when the order exceeds top-of-book size), and market-data latency (the quote you saw was stale by milliseconds when your order arrived). Slippage is the predictable cost of demanding immediate execution from a book that may have moved.
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Related terms
Active Management · Active Share · AI Revenue · Anchoring Bias · Cost of Capital · Creation Unit
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