Information leakage is the part of a large order’s cost that comes from other traders learning of it before it is complete, from its fills, its quotes, its conditionals or its routing, and trading ahead of it.
Quantitative Finance · Glossary
Quantitative Finance · Glossary
Information leakage is the part of a large order’s cost that comes from other traders learning of it before it is complete, from its fills, its quotes, its conditionals or its routing, and trading ahead of it.