算法交易: 执行、滑点和交易成本管理

The gap between backtest returns and live returns is mostly explained by execution costs.

Sources of Execution Cost

Bid-ask spreads, market impact, timing costs, and broker commissions all erode returns. For institutional-size orders, market impact alone can consume several basis points per trade.

Smart Order Routing

TWAP, VWAP, and implementation-shortfall algorithms adapt to real-time liquidity conditions.

Transaction Cost Analysis

Slippage is tracked per strategy, per security, and per time-of-day to identify optimization opportunities.