Implement algorithms that minimize slippage

Re:Implement algorithms that minimize slippage by _gmax0 on Wednesday September 18, 2024 @04:23AM (#41577206)

Is slippage minimization even a tractable problem besides applying loose heuristics derived from empirical insights, e.g., identifying reliable early-signals of narrowing spreads and increased liquidity for a given exchange?

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Re:Implement algorithms that minimize slippage by throw88888 on Wednesday September 18, 2024 @06:51AM (#41578106)

I have used statistical models of volatility to improve execution prices.

It doesn’t require very advanced modeling to estimate a probability of e.g. getting filled at midprice (saving half the bid/ask spread) within a short time period.

Just basic Bayesian with a look-back window.

Execution cost is a big topic in the trading industry.

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Re:Implement algorithms that minimize slippage by peterpans01 on Wednesday September 18, 2024 @11:04AM (#41580627)

Can you elaborate how did you do that?

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Re:Implement algorithms that minimize slippage by _gmax0 on Wednesday September 18, 2024 @01:12PM (#41582622)

Love it, such a straightforward formulation.

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Re:Implement algorithms that minimize slippage by phyalow on Wednesday September 18, 2024 @05:51AM (#41577758)

Yes it is.

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Re:Implement algorithms that minimize slippage by notachatbot123 on Wednesday September 18, 2024 @07:40AM (#41578476)

Would you be so nice to bother to put some arguments under your statement? As it is, it provides very little to this discussion. Thank you!

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