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How to Model Slippage in a Backtest Using Order Book Depth
A flat slippage number lies to you the moment you leave BTC. Here is how to build a depth-aware model that scales with order size and kills fake altcoin edges.
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A flat slippage number lies to you the moment you leave BTC. Here is how to build a depth-aware model that scales with order size and kills fake altcoin edges.