Glossary
Slippage
The difference between the price an order asked for and the price it got. It is largest when the market moves fast or liquidity is thin.
Slippage is the gap between the requested price of an order and its actual fill. A stop-loss is triggered at its level but filled at the next available price, which can be worse. Slippage can also be positive, but in fast markets it is mostly a cost.
Example
You are long gold with a stop-loss at 4,000.0. A jobs report comes out and the next available bid is 3,999.2. The stop fills there: 0.8 USD per ounce, or 8 pips, worse than planned. That is 0.8 ÷ 4,000 = 2 bp of extra loss. On a trade that risked 8.0 USD per ounce, it turns −1 R into −1.1 R.
Why it matters
Backtests that fill every order exactly at its level look better than reality. Slippage clusters in the minutes after major data releases, which are also the minutes many strategies want to trade.