I started this thread under programming, but I think this forum is a better place for it. What slippage model will be most realist to live trading? I am conducting my own backtesting and simulation for a trading algorithm. I intend to make "small" order sizes. The approximate number of roundtrip orders would be 50 - 100 per day. The ordersize will be 100 shares, and the average volume of the stock is 12 million. I want to quantify the price slippage based on market impact and time slippage. I have 4 ideas how to do this. I only intend to have 1 model active at a time. 1. Slippage by number of ticks after order is sent 2. Slippage by basis points per share. (15 bps min) 3. Slippage by using bid/ask spread 4. Slippage as a percentage of the tickbar. These 4 models do not account for the ordersize or the daily volume of the stock. Since my order size is "small", I would think that there would be a simple model for the relationship of ordersize vs. volume traded. Does anyone use a slippage model with this type of consideration? What slippage model do you use? Thanks!