Execution cost
Uses the order books of five venues to show what a market order of a chosen size really costs and which venue is cheapest.
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Inputs
Minute order-book snapshots from five venues, order size.
Outputs
Spread, slippage from $1k to $1M, median and stressed level, round trip including fees.
How it is reviewed
The two-hour median predicted the cost one hour later with a median error of 6.6–9.3% across 8 instruments and 5 venues. Reviewed every 14 days.
Limits
Visible depth only, standard fee tiers.
Versions
- v1.0
First version.