I am interested in strategy simulation at different frequencies (high frequency and daily frequency) and I want to compute the optimal frequency of execution.

To do this, I need to obtain realistic historical transaction costs from 1987 onward.

Does anyone know where one might obtain such a database?

  • 1
    $\begingroup$ We usually group all data in this question, but this specific request is interesting and quite uncommon so I'll leave it open see what the community thinks $\endgroup$
    – SRKX
    Mar 6 '15 at 3:38
  • $\begingroup$ If you're on the buyside, you should call your prime broker. I know a few banks/investment banks (at least used to ) provide clients access to their algo trading data so that they can build these transaction cost models; I don't think you'll be able to find a nonproprietary source for this. $\endgroup$
    – Helin
    Mar 6 '15 at 3:50

You need to read papers about market impact. You will find a lot of information about transaction costs. Two recent ones:

The first one use the database of a broker, and the second one the Abel Noser database.

Once you selected the market impact model you want, you can convoluate it with your trading profile to obtain your expected trading costs.

  • $\begingroup$ I want to upvote your answer because it is helpful, but upvoting requires 15 reputation. Sorry! I will leave this open for 7 days and if there is nothing better, I will accept your answer. $\endgroup$
    – mlachans
    Mar 9 '15 at 20:57

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