The difference between the price a trader expects to be filled at, and the price they are actually filled at. |
For example if a stock trader sends a market order in to fill at 10.00 but is only filled at 10.50 - the order was slipped half a point. Such slippage leads to a higher than expected transaction costs. Slippage in equities and futures usually leads traders to use special orders to be more certain of expected costs.
Slippage may be due to ineffective broker, fast markets or liquidity. Because the FX market is the world's most liquid and arguably most efficient, it leads to orders typically being filled with limited amounts of slippage.