Slippage is the difference between the price a strategy expected and the price it actually got. It comes from crossing the spread, from consuming more than one level of book depth, and from the market moving between the decision and the fill.
Slippage is where most backtests quietly lie. Simulating fills at the mid, or assuming unlimited size at the touch, produces a curve that cannot be reproduced live. Order-book data with real depth is the only way to model it honestly.
Simulating fills at the mid price. It is the single most common reason a backtest cannot be reproduced live, and it flatters high-frequency strategies most because they trade most often.
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