Deleted my response when I saw this better one. I'll only add these links as they're good for background: http://en.wikipedia.org/wiki/Slippage_(finance) http:

Deleted my response when I saw this better one. I'll only add these links as they're good for background: http://en.wikipedia.org/wiki/Slippage_(finance) http://en.wikipedia.org/wiki/Slippage_(finance) http://en.wikipedia.org/wiki/Market_impact http://en.wikipedia.org/wiki/Market_impact