[_gmax0]

Is slippage minimization even a tractable problem besides applying loose heuristics derived from empirical insights, e.g., identifying reliable early-signals of narrowing spreads and increased liquidity for a given exchange?

[throw88888]

I have used statistical models of volatility to improve execution prices.

It doesn’t require very advanced modeling to estimate a probability of e.g. getting filled at midprice (saving half the bid/ask spread) within a short time period.

Just basic Bayesian with a look-back window.

Execution cost is a big topic in the trading industry.

[_gmax0]

Love it, such a straightforward formulation.

[peterpans01]

Can you elaborate how did you do that?

[phyalow]

Yes it is.

[notachatbot123]

Would you be so nice to bother to put some arguments under your statement? As it is, it provides very little to this discussion. Thank you!