Slippage

Slippage combines two separate effects: the market moving between decision and execution, and the order itself walking up or down the book. It is systematically adverse rather than random, because a large order pushes price against itself and because urgent orders are placed precisely when the market is moving. This is the single largest reason backtested strategies underperform live, since a backtest usually fills at the last traded price. Slippage grows with order size relative to depth and with volatility, so the same strategy degrades sharply when scaled up.