Its Sunday and I'm a bit fried...so I thought I'd find a good article on Slippage rather than write my own.  Background: Have you ever put in a sell order with the bid at say 6.00 and it has been holding for quite a while.  You see the order has been filled at 5.90 when you never even saw the bid drop that far during the execution of the sale. This is called Price Slippage...and I'm afraid many brokers partake in it to grab extra cash from you on your trades.  Check out the article below for more details on the process.  Its pretty frustrating at best to deal with.

Slippage, Real and Imagined
by Jonathan Matte of DCM, Inc.

There are two kinds of slippage. One is real and one isn't.
In general, slippage is defined as the difference between a
price determined by the trader, and the price that actually
occurs on the exchange floor. That is, I say, "Buy Soybeans
at 662.50," but then I find out I was filled at 663.00, two
ticks off my price. The two ticks is called slippage. You
see this most commonly referred to when people are simulating
real trading on paper (e.g. "I bought Soybeans at 663.00 plus
two more ticks for slippage"), and when traders are unhappy
with the fill they just got in a market.

First of all, how is this possible? Well, unless you give
the trading floor a limit order (e.g. "Buy Soybeans at 662.50
OR LOWER"), you're not requiring that you get a particular
price. A market order is executed at whatever the market
determines the price to be when your order arrives. If you
use a stop order, then when the market trades at your price,
your stop becomes a market order and it gets filled at the
current market price. It's a deviation in price from some
preset price or expectation you have about the market.
Since markets are often dynamic places, prices change a
lot from minute to minute, and that brings me to my first
point.

If you use a straight market order, there is no such thing
as slippage. There really isn't. You are walking onto the
floor of the exchange and saying, "I want to buy these
Lean Hogs right now." The guy on the floor charges you
some price for your contract and you walk away. If you
don't mention a price to him, you can't complain that
the price slipped on you, by definition. The price doesn't
match what your broker told you? Seconds or minutes have
passed; you weren't trading in the same market. The price
doesn't match what's on your quote screen? "Real-time"
feeds run several seconds behind the action on the
exchange floor, and the prices are dependent on humans to
report them. In high-activity markets, the quote feed
may or may not be correct. There ARE cases where mistakes
are made (either real mistakes or on-purpose mistakes)
that cost you ticks, but that's called greed or mistakes,
not slippage. Since you didn't have a pre-determined
price that the market cares about, you can't have
slipped from that price. This goes for all market orders
(including market-on-open and market-on-close).

Now, if you use a stop order it's a different
story. If you have an order to buy Soybeans at
663.00 on a stop (with the market below that
price), when the price trades up and into (or
past) 663.00, your order converts to a market order
and you get filled at whatever the market will take.
If the market moves up past your stop order, you'll
probably get filled higher than 663.00. THAT is slippage,
where you had a target price but you didn't get it.
Is the market obligated to get your price on a stop?
No; your stop price is what triggers the market order,
and because the order is a market order, you get
whatever price the market assigns you. Slippage is
extremely common on stop orders; the degree of slippage
is generally determined by how fast the market is
moving when it hits your stop price. Can you get a
good fill on a stop order? Sure; suppose at the instant
somebody filled an order to go long one contract of next
year's Soybeans at 663.00, another order came in to sell
2,000 contracts at the market. Your stop order, triggered
by the trade at 663.00, will likely get filled a little
lower than your stop price. Do you call a fill at 662.00
on a 663.00 stop slippage? No; you call that "an
exceptional fill" because you're happy.

The one and only way to avoid slippage is through the
use of limit orders, where you say "Buy Soybeans at 663.00,
no higher," or, "Buy Soybeans between 663.00 and 663.50"
depending on what side of the market you're on. Then,
you're demanding a specific and limited price, and you
CAN'T get slippage on that because you've pre-declared
the worst price you're willing to accept.
Of course, you might not get filled at all if no one is
willing to buy or sell at your required price, but if
you do get filled, it has to be at your limit price or
better. If you put in a limit order and your broker has
the temerity to call you with a fill that's worse, have
him go back and get the correct information because
somebody made a mistake.
Not a cosmic or heretical essay this time; just a
clarification that you need to tell somebody you're
expecting a certain price before you can say that
your fill price slipped from that expectation.
Everything else is just an "unfortunate fill".