What Is the Risk of a Market Order Experiencing High Slippage?

The risk of a market order experiencing high slippage is the potential for the trade to be executed at a price significantly worse than the last traded price. This risk is highest for illiquid assets or during moments of extreme market volatility.

Since a market order is an instruction to execute immediately at the best available price, if the order size is large relative to the available liquidity at the best price, the order will "walk the book," filling at progressively worse prices, leading to high negative slippage.