Realtime price impact detection (opens in new tab)

An important question for an algo trader working an order is to understand if their actions are moving the market against them -- i.e., causing market impact. The conventional answer usually is one of two: (i) monitor price slippage in real-time, potentially reducing adverse activity with increased slippage, or (ii) do away with dynamic trading adjustments and rely on semi-static rules based on ex-post estimates of slippage over a large sample o...