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Hi Everyone,
I am working on a model for SPY and I was hoping someone that has done some large algorithmic trades could weigh in on how large a single market order can be on SPY before causing excessive slippage? I would define excessive as more than 4-5 ticks from the quote price. I'm essentially trying to identify capacity to stay within a slippage tolerance, and understand the market conditions matter, but can anyone weigh in on what they have experienced in live trading when submitting large SPY orders? Or, is there a rule of thumb you use that works to stay within a specified tolerance? Google produced responses all over the map.
Thanks!
Louis Szeto
Hi Aaron
We recommend creating a custom execution model. You may take a look at the Spread Execution Model as a starting point. Just change the last line from a percentage change into an absolute change would work. Then add the execution model into the Initialize method:
Best
Louis
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