The difference between the expected fill price and actual fill price of an order/ trade:
Slippage = expected fill price – actual fill price
The expected fill price is the price at which an investor expects an order to be executed. In other words, it is the amount by which the expected price slips away from the actual price.
Slippage relates to the volume of securities traded in the market. When volume in a given market is low, a large market order may be executed at a high slippage (for a buy order) or a low slippage (for a sell order), compared to the initial quote at the time the order was placed.
