the relationship between slippage and volume & volatilit
Posted: Fri May 06, 2005 1:43 am
In TS/WLD/AB or other platforms,slippage should be taken into account,many guys relate it with volume,or volatility,or both,but what's the relationship between them?(IMO,correlation but not linear),anyone give me some suggestion or references please?
and,in the case of volume,how to get the thresholds of different levels to set slippages?
Thanks in advance.
and,in the case of volume,how to get the thresholds of different levels to set slippages?
Thanks in advance.