OKcoin (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

OKcoin (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