Your alpha can be returning X, but if you're paying Y, your take-home is X-Y.
If you can bring your slippage and fees down, you win more and you can scale your trading to a larger universe of pairs.
VWAP > TWAP > Market > LImit
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not all trading engines are the same
green dots = maker fills
orange triangles = active limit orders
you can minimize adverse selection and hide your orders better by splitting your orders into as many as the exchange allows.
our engine will dynamically move these around every 50ms. follow the spread, go deeper in the book, it knows best