Macrocephalopod - Managing a Mid-Frequency Crypto Prop Desk (S6E5)
Flirting with Models
How to Model Slippage in Cryptocurrencies
As frequency goes up, one of the things that people tend to focus on as being a more important contributing factor to P and L is transaction costs. In some markets or for some strategies, slippage completely dominates your trading costs. And naive modeling of market impact leads to assumptions like, well, I've got a large trade to do, but I can just split it into 10 small chunks and execute them equally over the next 10 minutes with a very small amount of market impact in each little bin that I trade in.
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