Questions tagged [slippage]

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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 ...
helloimgeorgia's user avatar
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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 ...
Hiperfly's user avatar
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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 ...
user66893's user avatar
1 vote
1 answer

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 ...
mbz0's user avatar
  • 79
2 votes
2 answers

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. ...
user49573's user avatar
3 votes
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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 ...
mea43's user avatar
  • 163
5 votes
1 answer

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 ...
David Addison's user avatar
2 votes
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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 ...
Mark Horvath's user avatar
1 vote
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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 ...
Mark Horvath's user avatar
3 votes
1 answer

Intraday versus daily volatility in slippage estimation

On page 21 of Almgren has the formula $\displaystyle{\text{Slippage} = \frac{1}{2}\gamma\sigma\frac{X}{V}\left(\frac{\Theta}{V}\right)^{\frac{1}{...
siegel's user avatar
  • 249
0 votes
2 answers

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 ...
karmapolice's user avatar
4 votes
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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 ...
Liam's user avatar
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3 votes
0 answers

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 ...
delta hedge's user avatar
15 votes
3 answers

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 ...
Zach's user avatar
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8 votes
3 answers

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?
G__'s user avatar
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