https://www.tradersmagazine.com/dep...search-debuts-new-category-of-execution-algo/ " BestEx Research Debuts ‘New Category of Execution Algo’ By Shanny Basar -February 14, 2024 [...] Asset managers can try to minimise the average implementation shortfall (IS), the difference between price when the decision is made to trade and the final execution price, by trading slowly. Or they can trade quickly, but average slippage may be higher on a day to day basis. “There are plenty of IS algos available for portfolio managers who want to minimise the variance of slippage when they trade with higher urgency,” added Mittal. “But there are managers who just want to minimize the average slippage rather than the variance of slippage, and unfortunately no IS algos are designed for that.” As a result, volume weighted average price (VWAP) has become the default choice for asset managers to minimise average slippage when they have no urgency in their execution. A survey by BestEx Research found that nearly three quarters, 72%, use VWAP algos to minimize implementation shortfall for low-urgency trades. “So it’s not a small group that can benefit from improvement in this area,” added Mittal. VWAP algos are designed to track the VWAP benchmark, and that creates several deficiencies when the trader’s goal is to minimize average IS. For example, trades occur on a predefined volume schedule when using a VWAP algo. In two periods when volume is the same but volatility is higher in one, a VWAP algo would trade the same amount even though volatility multiplies slippage. “IS Zero does not replace the traditional liquidity-seeking algorithm, but replaces the VWAP algorithm where the urgency is zero,” said Mittal. “Instead of using a volume profile, it uses a market impact minimization schedule which considers factors such as volume, volatility and the bid offer spread.” BestEx Research ran a controlled experiment on about $20bn of trades where the firm split orders from clients on a random basis which Mittal said was devoid of any bias. Half the trades were executed using a VWAP algorithm and the other half using IS Zero. Mittal argued that the order sizes, spreads, and participation rates were very similar, and orders were traded under the same market conditions so this was truly an ‘apples to apples’ comparison. “The slippage reduced by 37% with IS Zero, so that is the money left on the table by those using VWAP for low-urgency orders,” he said. [...] "
Bottom Line on Slippage... you can't do much about it. Limit and/Stop limit orders can get "blown through", as you kow. So... focus on the "potential you see" in the trade. Slippage is just a cost of doing business.... however suggest you play securities with small spread and significant volume instead of the lesser.
Not at all. Time is a factor. Splitting an order up makes all the difference. If you need execution right then and there, you will pay the slippage cost. Otherwise you have options.