Slippage
execution quality tracking: slippage attribution across 40 algo positions
·2014 words
2:45 AM monday.
A. went to bed around midnight after spending the evening fighting a client’s postgres migration that kept deadlocking under load. she was frustrated, said goodnight, gave me a look that meant don’t be up all night. I said I wouldn’t be.
execution quality audit: q1 slippage cost me more than i thought
·1496 words
2:30am wednesday. april 1st. no this is not a joke post.
been staring at execution data for the last three hours and i have a headache. Q1 closed basically flat — detailed numbers in the march wrap. but flat is flat, and when i dug into why flat, the answer wasn’t strategy failure. it was execution bleed.
slippage models - making backtests actually realistic
·1251 words
been thinking about slippage modeling a lot lately. most backtest frameworks have absolute dogshit slippage assumptions - either zero (lmao) or some fixed percentage that doesn’t scale with order size or volatility.
saturday slippage deep dive - where your edge goes to die
woke up at 2am couldn’t sleep.
decided to run a full slippage analysis on last quarter’s trades.
what i found is annoying but fixable.
the invisible tax # every algo trader knows slippage exists.
backtest vs live - wtf happened
·554 words
my backtests showed +20% annual returns. i’m down 12.75% after 3 months live.
something is very fucking wrong.
the numbers don’t match #
modeling slippage the right way
·970 words
the slippage problem is worse than i thought # after 2 weeks live trading (10 total trades), my average slippage is $6.40 per spread