John W Elite    Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia  User Profile | Unfortunately my quote from 8 Feb included the line "In summary I'm saying that it may be a waste of time building a slippage model for a single account. There won’t be observable slippage caused by that single account, just gaps and future performance issues in smaller lists in particular." I agree with Jim's rationale about slippage too. It's just that I think it’s going to be felt at the OV level by all users; it’s not just an individual account issue. Even if there was one single large account using OV and inducing slippage, that slippage would be felt by all. It’s a moot point one way or the other, let’s just accept slippage will occur and Jim has proposed a solution. Jim has a number of times offered his own work to Nirvana, not only on the issue of slippage but also risk management and position sizing and I'm hoping that Nirvana will take him up on his offer(s), but I've seen nothing yet to indicate that may happen. This is overdue for response. I've proposed to Ed a simple empirical formula above that shows if OV trades its position all at once then it is likely to affect the price of smaller traded symbols and as OV grows this is likely to become more pronounced. I’m genuinely hoping that Nirvana will take this input (and Jim’s) on board in their system design. John | |
