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Learn Algorithmic Trading
book

Learn Algorithmic Trading

by Sebastien Donadio, Sourav Ghosh
November 2019
Beginner content levelBeginner
394 pages
10h 31m
English
Packt Publishing
Content preview from Learn Algorithmic Trading

Slippage

Slippage refers to the fact that expected trade prices from simulations, and actual trade prices as realized in live trading, can be different. This obviously can be detrimental to expected performance from algorithmic trading strategies because it is possible, and often likely, that trade prices in live markets are worse than what is expected from simulations. This can be due to historical market data playback issues, underlying assumptions about the latencies within the trading strategy, or the latencies between trading strategy and trading exchange, which we will explore shortly.

Another reason can be due to the market impact, where, with simulations, we try to trade larger sizes than can be traded in live markets without creating ...

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Publisher Resources

ISBN: 9781789348347Supplemental Content