November 2019
Beginner
394 pages
10h 31m
English
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 ...