QuantFinanceToGoPricing

Trading Costs and Market Impact

The spread, slippage, market impact by the square root rule of thumb, and a cost model attached to a backtest.

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How this module runs

  1. 01 · IntroductionWhat it is and why it matters
  2. 02 · Key PointsThe most important points
  3. 03 · The Math + PythonFormula, step by step, code
  4. 04 · Real WorldWhere it is used, best practice, common mistakes
  5. 05 · QuestionsExercises and interview
  6. Mini projectOne small program
Mini projectA cost model attached to a backtest, with the Sharpe ratio before and afterOne small program on the topic, to run and to extend step by step.

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