Implementation shortfall
The difference between the result on paper and the actual one: commission, spread, the price move caused by one's own order, and the part of the size that never got filled.
How to read the number
This is the quantity that separates the return of an idea from the return of an account, and on short-horizon strategies it can swallow the whole expected gain.
When the metric lies
In calculations it is usually replaced by a fixed commission, leaving out the impact of one's own size: a large order pushes the price against itself, and the less liquid the security the more it pushes.
Also known as: execution cost