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It seems like it would. If so, what are some examples?

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  • $\begingroup$ TBH I have not seen it mentioned in the research that I read. $\endgroup$
    – nbbo2
    May 5, 2020 at 21:47

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Why would it? Customers are still paying spread and execution slippage - another type of less obvious transaction cost much the same as regular fees, which are magnified by adverse selection associated with trading larger size.

Execution either at midprice, VWAP or TWAP is almost impossible unless you are trading with gigantic short-term alpha.

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