Quantitative Trading by Ernest P. Chan;

Author:Ernest P. Chan; [Chan, Ernest P.]
Language: eng
Format: epub, pdf
ISBN: 9781119800071
Publisher: John Wiley & Sons, Inc. (trade)
Published: 2021-07-27T00:16:52+00:00

After the creation of an ATS, you can then focus on the various issues that are important in execution: minimizing transaction costs and paper trading. Minimizing transaction costs is mainly a matter of not allowing your order size to be too big relative to its average trading volume and relative to its market capitalization. Paper trading allows you to:

Discover software bugs in your trading strategy and execution programs.

Discover look-ahead or even data-snooping bias.

Discover operating difficulties and plan for operating schedules.

Estimate transaction costs more realistically.

Gain important intuition about P&L volatility, capital usage, portfolio size, and trade frequency.

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