Quant Radio: Minimizing Slippage at Market Open

Backtests might look great on paper, but when it comes to live trading, reality hits hard. In this episode, we dive deep into the hidden costs that eat away at trading profits—slippage, execution uncertainty, and market impact. Inspired by the strategies of Renaissance Technologies, we explore a step-by-step execution algorithm designed to minimize slippage at market open.

From understanding how market-on-open orders work (and their pitfalls) to leveraging real-time API data for precision trading, we break down the crucial details that separate a successful strategy from a failed one. If you're serious about quantitative trading and want to bridge the gap between theory and reality, this is the deep dive you’ve been waiting for.

Stay tuned as we uncover the devil in the details—because in algorithmic trading, every millisecond counts.

Find the full research paper here: https://community.quantopian.com/c/community-forums/the-devil-is-in-the-details-quantitivo

For more quant-focused content, join us at ⁠⁠⁠⁠https://community.quantopian.com⁠⁠⁠⁠. There, you can explore a wealth of resources, connect with fellow quants, engage in insightful discussions, and enhance your skills through our extensive range of online courses.

Quant Radio is an AI-generated podcast, intended to help people develop their knowledge and skills in Quant finance. This podcast is not intended to provide investment advice.