Slippage
The difference between expected execution price and actual fill price.
Explanation
Slippage is typically larger in wide or fast markets and can materially impact strategy performance. It can occur on both entries and exits and is especially important in multi-leg orders. Limit orders and liquid strikes are the main defenses against excessive slippage.
Example
You expect to sell at $2.00, but your order fills at $1.92; the $0.08 difference is slippage.