Slippage is the difference between the price you expected and the price your order is actually executed at. Prices can change in the split second between sending an order and it being filled.
It happens most often when:
Volatility is high (for example, around major news or economic data),
At market open or rollover times,
Liquidity for the instrument is thin, or
The order is large.
Rollover (also called the daily swap or overnight financing time) is the fixed point each trading day — around 5:00 PM New York time — when positions you keep open are carried over to the next day. At that moment, a swap (a small overnight financing fee) is either charged to or credited to your account, depending on the instrument and whether you're long or short. Around this short window, liquidity can thin out and spreads can briefly widen, which is why orders placed then are more exposed to slippage.
Slippage can be negative (a worse price) or positive (a better price). Market orders are the most exposed to it. A Limit order lets you set the price you're willing to accept — but it may not fill if the market never reaches your level. Note that a Stop Loss turns into a market order once it's triggered, so it can also be affected by slippage.