Slippage is the gap between the price a trader anticipates and the price they receive when an order fills. It arises because a market order consumes resting liquidity at progressively worse prices as it moves through the order book, and because prices can shift in the moment between submitting and executing an order.
Slippage is generally larger in thin markets, for big order sizes, and during volatile periods when liquidity is scarce. In deep, liquid markets for major assets, slippage on ordinary-sized trades tends to be small.
Understanding slippage is part of understanding execution cost. Tools such as limit orders can cap the price a trader is willing to accept, and reading order-book depth gives a sense of how much slippage a given size might incur.