Assessing execution quality and slippage in volatile times
Market participants must focus on how their evaluated execution costs vary in different market regimes, writes Tradefeedr’s Alexei Jiltsov
Every time volatility returns, market participants observe an increase in their variable trading costs, such as slippage and spreads. The difference between the new and the old execution costs is then blamed on the execution agents, who in turn blame the lack of liquidity. The cycle repeats itself.
In many ways, variable execution costs – the ability to transact in size, quickly and with low market impact – and liquidity are related. And unlike investment performance, changes in execution costs
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