10-19-2018, 04:15 AM
What I usually do is just look at the orderbook multiple times during different volatility. The truth is that even if you have the perfect numbers actual trading is always different from a simulation (since the act of trading would change order flow).
Not sure if you've seen it, but here is a video that explains slippage and spread: https://youtu.be/r0yc1sonYvo It does feature a random spread calculation but that video is more about understanding the concepts.
Not sure if you've seen it, but here is a video that explains slippage and spread: https://youtu.be/r0yc1sonYvo It does feature a random spread calculation but that video is more about understanding the concepts.