Registered: May 2008
07-11-12 12:17 PM
Quote from abattia:
To allow meaningful comparisons, aren't you also going to need (per symbol/instrument, and across all venues):
I already track skid in my trading system. So I know, if I place a market order, what the quote was going in, and what the VWAP is on the executions.
If I switch over to Arrival Price (or any other algo), I'd compute the skid the same way.
I'm not interested in "well, the book was X deep, the algo should have known to get off Y shares there". I'm interested in "for the trading I do, is algo A better than algo B".