XCore HFT / Trading Lab
PULSE: Capacity is where size consumes edge
Quantitative execution, market-microstructure, and risk-control research from XTRSK.
The dangerous trading system is not always the slow one. It is often the fast one whose risk state is wrong. Capacity is where size consumes edge.
A compact operating checklist is: 1) monitor live slippage against the capacity curve; 2) model spread, temporary impact, permanent impact and opportunity cost;
Which assumption here is tested continuously in production, and which one is still trusted from the backtest?
#Execution #QuantTrading
The research behind this lesson
This paper explains The seminar frames electronic markets as price-time-priority queues. It separates queue value into spread capture versus adverse-selection cost and the option value of retaining a place in line.
Applied to this XCore lesson: An order lifetime therefore cannot be based on elapsed time alone: the system must reassess whether its queue position, expected spread and adverse-selection risk still justify keeping the order alive.
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Source: High-Frequency Trading and Modern Market Microstructure
Educational content only. Trading leveraged products involves risk.
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