Slippage
The difference between the expected and the actual execution price of an order. Common with market orders, thin liquidity and around major news.
Definition
Slippage is the difference between the expected and the actual execution price of an order — common with market orders, gaps, news events and thin liquidity. It is a real execution cost that can ruin a backtest “at the mid” with no costs at all.
Example
You want to exit on a stop at 1.0850. A second after the data release the fill goes through at 1.0844 — 6 pips of slippage. On a large lot that is a concrete loss beyond the 1R you planned.
Anti-example / common mistake
A backtest with no spread and no slippage, followed by surprise on the live account. Or sending a market order in illiquid hours “because the chart looks nice”.
How to measure it (protocol)
Over 10 demo trades write down: the planned price (stop/limit), the fill price, and the difference in pips/ticks and in PLN relative to 1R. The goal is to know whether your average slippage eats 0.05R or 0.3R — before you scale up size. On CFDs and forex around high-impact events (NFP, central bank decisions) assume wider slippage than in the calm London–New York overlap.