AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
4min chapter
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.
00:00
Transcript
Episode notes
Get the Snipd
podcast app
Unlock the knowledge in podcasts with the podcast player of the future.
AI-powered
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode
Save any
moment
Hear something you like? Tap your headphones to save it with AI-generated key takeaways
Share
& Export
Send highlights to Twitter, WhatsApp or export them to Notion, Readwise & more
AI-powered
podcast player
Listen to all your favourite podcasts with AI-powered features
Discover
highlights
Listen to the best highlights from the podcasts you love and dive into the full episode