Slippage
Slippage is the difference between the price you expected and the price your trade actually filled at.
In depth
It happens when your order is larger than the liquidity available at the best price, so it "walks" through worse levels — or when the price moves in the seconds before your transaction confirms. Most platforms let you set a maximum slippage tolerance. Big orders in thin markets are the classic victims.
Why it matters
Slippage is a hidden cost of trading; OTC desks and limit orders exist to control it.