4 ms·
They didn't include any discussion of: 1) execution (are they expecting to buy on the bid and sell the offer?). 2) commissions. They only made 3,362 yuan on
by HockeyPlayer 12y ago
They didn't include any discussion of:
1) execution (are they expecting to buy on the bid and sell the offer?).
2) commissions. They only made 3,362 yuan on 2,872 trades. A yuan is about 12 cents, so they are making 15 cents USD per trade.
A .1% commission would cost them roughly 5 yuan per trade, but they are only making 1.17 yuan/trade.
- princeb 12y agoOKcoin (the exchange they relied on in the paper for data) claims 0% commissions and a bid-ask spread of just 0.04 RMB. how real is that, I have no idea. but if you relied on this information you could believe that you can still take a few additional spreads worth of slippage (in addition to crossing) to compensate for execution latency and still come out very far ahead