According to what I have heard at my former employer that supplied the trading platform to Mizuho, there was indeed a warning, and the user dismissed it. This was relevant when Mizuho tried to recover some of its losses from us.
It shouldn't require price history. You just need the order book and you can simulate the execution of any order, and figure out its average price.
If the average price is X basis points worse than the current top of book, that's slippage. So eg if highest bid in book is $100 and you are entering a sell order that would eat so much of the book that it would fill with an average price of $70, that's 30% slippage and probably not what you meant to do.
You need to have a book in the first place though. If the instrument is highly illiquid the spread might be huge and the price have little real world relevance.
For liquid books, yes definitely I would expect these sort of checks (tipically against historical prices) to be in place.
joshuaissac|2 years ago
rekabis|2 years ago
And that’s where effective logging can also shine, confirming that the warning message was triggered and was explicitly dismissed.
The key trick is to know where logging can best CYA, so as to keep it down to a full roar instead of generating gigabytes of noise.
artursapek|2 years ago
If the average price is X basis points worse than the current top of book, that's slippage. So eg if highest bid in book is $100 and you are entering a sell order that would eat so much of the book that it would fill with an average price of $70, that's 30% slippage and probably not what you meant to do.
gpderetta|2 years ago
For liquid books, yes definitely I would expect these sort of checks (tipically against historical prices) to be in place.