Slippage
The difference between the price you saw and the average price you actually filled at, caused by thin depth or the market moving while you act.
Slippage turns paper edges into losses. If both legs of an arb are entered a few seconds apart, the second leg can fill at a worse price than quoted — sometimes worse than the payout, turning the position into a loss called 'legging'. Fast, funded execution and realistic sizing are the only defenses.
Related terms: Order book depth · Legging · Net edge