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Omega


Total Posts: 436
Joined: Jul 2006
 
Posted: 2018-12-03 18:23
Hi

IS there a basic paper which decribes how I can measure expected impact of trading futures intraday?

For instance want to measure the expected cost of trading say n ES futures over say 30 sec or 1 min?


rickyvic


Total Posts: 188
Joined: Jul 2013
 
Posted: 2019-05-06 01:10
Google is your friend it is called transaction cost analysis/modeling

"amicus Plato sed magis amica Veritas"

Strange


Total Posts: 1578
Joined: Jun 2004
 
Posted: 2019-05-06 03:08
http://scitechconnect.elsevier.com/wp-content/uploads/2016/07/Algorithmic-Transaction-Cost-Analysis-Chapter.pdf

“My dear, here we must run as fast as we can, just to stay in place. And if you wish to go anywhere you must run twice as fast as that.”
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