Questions tagged [slippage]
The slippage tag has no usage guidance.
15
questions
1
vote
2
answers
95
views
Expected slippage based on % of average daily trading volume
I have started a quant strategy that buys and sells thousands of stocks. Each trade represents <1% of average daily trading volume. On average, the trades represent around 0.1% of ADTV.
What is a ...
- 161
0
votes
0
answers
56
views
Arbitrage optimal size model that accounts for slippage given a specific path?
I'm interested in any model that helps calculating the optimal size to maximize PnL given the liquidity of an asset (or the slippage that I would incurr per unit of asset traded).
For instance, let's ...
- 135
0
votes
1
answer
62
views
When backtesting Nikkei225 futures with market orders, how many points to account for eventual slippage and trading costs?
I want to backtest a strategy based on Nikkei 225 futures (preferable at the Singapore exchange).
I am using market orders for entry and exit.
Although I now that theoretically market orders for a ...
- 23
1
vote
1
answer
766
views
Modelling VWAP Slippage with HFT data
I heard that VWAP slippage (relative difference between the VWAP and the initial mid-price, $\varepsilon \ . \ \frac{P_{VWAP}-P_{arrival}}{P_{arrival}}$ with $\varepsilon = +1 \ or \ -1 $ the trade ...
- 79
2
votes
2
answers
1k
views
Modeling Slippage without Order Book data
I am building a portfolio simulator and finding ways to make it more 'realistic'. For example, giving the option to reinvest dividends, include capital gain taxes, commission/fees (fixed for now) etc. ...
- 21
3
votes
0
answers
144
views
Realistic Modeling of Capacity in Backtesting a trading strategy
Typically the backtest of a quantitative trading strategy assumes a fixed period and fixed capital at the start to backtest a strategy. However, each strategy has a capacity (due to non-linear trading ...
- 163
5
votes
1
answer
818
views
Optimal execution of illiquid securities
I am using an API to direct orders based on some proprietary buy/sell signal. I am trying to frame a thought process which outlines the slippage/impact risks versus execution risks given the option to ...
- 2,985
2
votes
0
answers
722
views
Impact / slippage model for open and closing crossing auctions?
The general impact model for trading a VWAP order throughout the day has the form of:
$\alpha \cdot \sigma_n \cdot \text{(participation rate)}^\beta$
I'm looking for an impact / slippage model of ...
- 306
1
vote
0
answers
163
views
What are commercial impact models and transaction cost analysis models out there for simulation?
I have heard that ITG, LiquidMetrix, MarkIT and TradingScreen has good Transaction Cost Analysis (TCA) research. I wonder which firm one would choose to have an impact model formula inside his ...
- 306
3
votes
1
answer
1k
views
Intraday versus daily volatility in slippage estimation
On page 21 of http://www.cims.nyu.edu/~almgren/papers/costestim.pdf Almgren has the formula
$\displaystyle{\text{Slippage} = \frac{1}{2}\gamma\sigma\frac{X}{V}\left(\frac{\Theta}{V}\right)^{\frac{1}{...
- 249
0
votes
2
answers
393
views
Accessible HTF? (Slippage reduction)
I designed an strategy that operates with 30-second bars on e-mini SP500. It works fine in the back-testing and the out-sample, also performs well in every walk-forward test I have tried.
But, when ...
- 101
4
votes
0
answers
113
views
Forecasting amount of slippage in executing option spreads
Is there a good quantitative model to estimate how much slippage is required to execute a particular option spread trade?
For example, let's say you want to execute an Iron Condor. Given X, Y, Z ...
- 41
3
votes
0
answers
242
views
Pre-Trade Slippage Costs For Option Spread Execution
Is there a quant model that can help estimate how much slippage one would have to give up in order to get an "option spread" (vertical, butterflies, etc.) order executed?
What factors should one look ...
- 236
15
votes
3
answers
8k
views
How to simulate slippage
I'm backtesting a trading strategy, using free OHLC data from yahoo or google. I'm simulating friction by lopping a flat percentage (say 0.5%) off my returns for each day that I make a trade. Whats ...
- 1,371
8
votes
3
answers
2k
views
How significant is slippage in a successful quant fund?
On average, how much slippage (measured in lost % return potential) is typical for an operating quant fund that trades in, say, major U.S. equities?
- 828