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I have built a alpha to get signals buy/sell. Because I trade with a large number of future, I need a good strategy to execute. I want to split my target 2 parts: limit and market order book. But I don't know when I should do. I spent a lot of time reading papers on this topic, but everything is not good for me. So, I need your help. Please introduce me some papers or methods to do this. I will try it. Thank you!

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  • $\begingroup$ It's not uncommon for a backtested strategy to become unprofitable once you factor in actual trading costs, primarily because you won't be able to trade at the same prices as historical prices you tested on. $\endgroup$ – Sergei Rodionov Feb 5 at 7:43