Slippage
The difference between the price you expected and the price you actually got — the cost of moving in fast, thin or wide-spread markets.
Slippage is what separates the textbook fill from the real one. A market order placed on a fast breakout might fill several cents above where you clicked; a stop triggered into a gap can fill far below the stop price. It comes from the spread, from price moving while your order routes, and from there being too few shares at your price.
Slippage is worst in illiquid names, around news and the open, and on large orders. Limit orders cap it (at the risk of non-fill), and trading liquid stocks in normal conditions minimizes it. Good traders budget for it rather than assuming perfect fills.
On StockSetups
Filtering for liquidity — StockSetups' average-volume and dollar-volume fields — is the main defense against slippage, keeping setups in names deep enough to absorb your order near the quote.
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