Slippage – The difference between the expected price of a trade and the price at which it actually executes. Slippage occurs when market conditions change between the time a signal is generated and the order is filled. It is often due to latency or low liquidity. For example, during fast moves or with slow data links, “the price at which a trade is executed differs from the intended price due to delays”. Slippage is a real cost of automated trading, and robots often include slippage assumptions when simulating performance or setting order parameters.

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