What is slippage?

The difference between the expected price of a trade and the price it actually fills at.

A large market order eats through several levels of the order book, and each level is worse than the previous one. The average fill price drifts away from the price you saw — that is slippage.

Slippage is lower in liquid markets and for smaller orders. To avoid it, large traders use limit orders or a TWAP order.