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I'm going to assume that by analyzing "slippage" you mean transactions costs. Analyzing Latency First, I will say that analyzing latency issues is incredibly hard. You probably do not even know where your strategy will be located: colocated? not colo but close by? You also do not know how fast your algorithm will respond to a signal: milliseconds? ...


3

Please note that my answer is primarily opinion/experience based. If it is not appropriate I will take it down or edit accordingly. How should I begin to think about optimal execution given a choice of execution methods? What simplifying assumptions or heuristic frameworks could be useful in identifying quasi-optimal execution strategies? I think optimal ...


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Usually the the difference between your average price between $t_0$ and $T$ and the price at $t_0$ is called the Implementation Shortfall (IS). They are a lot of references to do this, just cite these two ones: Market Impacts and the Life Cycle of Investors Orders, by Bacry, Iuga, Lasnier and L Modelling Transaction Costs When Trades May Be Crowded: A ...


1

What is a reasonable amount of points or amount of money to account for slippage and costs for exchange and broker? Slippage will depend on many things - volatility and size are probably the most important. Your question is non-trivial and trying to get a realistic answer would be a lot of work. As a first pass, I might try a toy model that assumes, for e.g.,...


1

There are two questions packed in here. I will attempt to answer one at a time. Does anyone have an idea of how this estimator works? A much more concise practical guide to this estimator is found here: http://corp.bankofamerica.com/publicpdf/equities/Equity_Mkt_impact.pdf But I will try to break it down anyway. This estimator appears to be a ...


1

You're playing against people who would take the opportunities you're going for in microseconds or milliseconds. What kind of latency are you getting with TradeStation? You need to do two things: measure this latency. get tick by tick data and do a real backtest. Probably your opportunities are gone in 10 milliseconds so you need to do this.


1

I know it's not what you want to hear, but the smaller the time-frame the more limit orders should be focused on (which can change the design of a strategy entirely). Due to the nature of the futures markets, having a gap in liquidity can obviously cause discrepancies with market orders, but can guarantee some nature of being filled using limits.


1

Given that you're tradeing low volumes ($<1\%$ of volume, I take), I would not assume more than 1 bps slippage in your case.


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