Costs topic hub

Trading costs

∞structural

What it really costs to trade: the transparent fees, and the implicit costs (spread, slippage and the market impact that eats most edges alive).

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What's in this topic

4 pages, each linking down to the ideas inside it.

Transparent costs01
Commissions, exchange fees, taker fees, clearing: the costs you can read off a fee schedule. Easy to count, and easy to underestimate at high turnover.
∞structural
Implicit costs02
Spread, slippage, market impact and the opportunity cost of an unfilled order. Implementation shortfall (Perold 1988) is the honest, all-in measure, harder to game than VWAP.
∞structural
Market impact03
Trading moves the price against you. The square-root law says impact grows roughly with the square root of size relative to volume; temporary impact decays, permanent impact stays. It decides whether an edge survives costs.
∞structural IX-IMPACT
Estimating impact04
Calibrating an impact model from your own fills and public TCA data, and the traps (selection bias, regime change) that make naive estimates flatter you.
∞structural

Where this fits

↔ Across · composes with Execution algorithms ↔ Across · composes with Performance & capacity ↔ Across · composes with Market microstructure → Apply · makes money in Equities & futures ⤓ Build / Buy · tool needed Datasets & tools