Comparison of cost to execute in 2013(?) vs 2021
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I meant to save this in drafts to look at it later, oops. Anyway my hunch is that top of book sizes are smaller but spreads are much narrower now, and if you analyse it properly it is unambiguously much cheaper to trade size now despite all the fuss about HFTs and “fragility”
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Replying to @mediocrequant
Yep v good point! I send a lot of daily VWAPs so I could look at it, although that's getting closer to stuff that I can't really post.
6:58 AM - 8 Aug 2021
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