I've collected slippage data for about 15,000 trades and here is what I've found: - the bulk of orders get filled at either MIAX Pearl, Nasdaq,...
Does anyone have a rough idea of how the calculation works? I am trying to follow their page on PM and using delta, gamma and vega to estimate it...
I am looking for the best possible execution prices for micro and small caps, where I would be representing a significant chunk of daily volume....
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