GLOSSARY // Orders & Execution
Slippage
Slippage is the gap between the price you expected and the price you actually received: pay an average of $10.06 on a market buy quoted at $10.02 and you slipped 4 cents a share, $40 on 1,000 shares. It is a real trading cost, as concrete as commissions and usually larger.
Three things drive it: the width of the spread, your size relative to the displayed liquidity, and how fast the tape is moving between your click and the exchange. Slippage also compounds with frequency; a scalper doing 40 round trips a day at 2 cents of average slippage per side is paying $1.60 per share traded, per day, before any edge is counted.
A trader market-sells 3,000 shares of a stock quoted $6.50 x $6.52. The fills return as 1,000 at $6.50, 1,500 at $6.47, and 500 at $6.44: a $6.475 average, $75 short of selling everything at the bid. Nothing went wrong; the bid simply only held 1,000 shares.
Related terms
Educational only — not financial advice. Definitions simplified for clarity; markets are messier than definitions.