Tagged Questions

7
votes
3answers
243 views

how do you evaluate an FX market aggregator?

My firm is investigating FX aggregation systems to see if we can reduce execution costs for our systematic trading strategies that involve FX (not low latency). Some of the contenders are Integral, ...
12
votes
3answers
605 views

How to account for transaction costs in a simulated market environment?

I am simulating a market for my trading system. I have no ask-bid prices in my dataset and use adjusted close for both buy and sell price. To account for this I plan to use a relative transaction ...