Execution cost is often the largest difference between a backtest and a live account, and it is rarely measured with the same care as the signal. This review has a fixed scope: the data, the questions and the report are agreed before work starts, so the cost of the review is known in advance.
The review can run inside your own environment, so order records never leave it.
What the work covers
- Cost measured on every order from your own order and fill records: spread, slippage, market impact and commission
- Costs broken down by venue, broker, order type, time of day and order size
- Comparison of the cost paid in the market with the cost assumed in research
- A ranked list of changes, with the saving each one is expected to bring
- An optional repeat on a schedule, as part of a monitoring retainer
To discuss a project, write to our contact address.