Legging (getting legged)
Filling one side of an arbitrage and then failing to fill the other at the needed price, leaving an unhedged position.
Every cross-venue arb is two separate orders on two separate systems. If the second venue moves before your order lands, you hold one leg naked. The usual remedy is to unwind the first leg at its bid, eating the spread and fees. ArbMonster's paper-trading simulator models this explicitly, and its honesty metrics show how often an edge is still there 5, 30 and 60 seconds after detection.
Related terms: Slippage · Arbitrage · Order book depth