hi guys. it has been a topic for me and will continue to be. we are trading 12 futures intraday, mainly financials. we measure slippage in basispoints and compare it to bid ask and minimum tick size. point is that slippage per se is not constant. different volatility, different volume and so forth. so my slippage will vary, though my market impact is still the same. how do you guys tackle that? i would like to derive one single impact figure. like correlating my slippage among markets. but since markets correlate as well and their volumes and their volumes i am thinking along taking my least correlated markets at anyone time and look at the correlation of their slippages. in effect i want to divide my slippage correlation by my market correlation, but only for the two least correlated markets. hope that was not too confusing. nevertheless, before i start this i just wanted to check if someone deeper in this would share some adivce.