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Omega


Total Posts: 434
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: 180
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: 1540
Joined: Jun 2004
 
Posted: 2019-05-06 03:08
http://scitechconnect.elsevier.com/wp-content/uploads/2016/07/Algorithmic-Transaction-Cost-Analysis-Chapter.pdf

I don't interest myself in 'why?'. I think more often in terms of 'when?'...sometimes 'where?'. And always how much?'
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