Slippage
The difference between the expected fill price and the actual fill price, caused by moving through multiple price levels on the order book.
Definition
Slippage occurs when a taker order is large enough that it exhausts liquidity at the best price and must consume orders at progressively worse prices. The average fill price ends up worse than the top-of-book price. Slippage is distinct from the taker fee: the fee is a fixed function of notional, while slippage depends on the order size relative to available book depth.
In practice
On a thin Polymarket order book, sending a FOK order for 500 YES shares at $0.55 might fill the first 200 shares at $0.55 (if the book has that much), then 150 at $0.56, and 150 at $0.57 — for an average fill of roughly $0.56. A bot must estimate available depth before sizing its order to avoid unintended slippage. Predtools bots cap position size partly to keep slippage below the signal threshold, particularly in markets with wide spreads or shallow depth.