easy · Quantitative Finance microstructure-arb
What is the cost of 'crossing the spread'?
- The operational risk that a resting order gets rejected by the exchange engine
- The loss incurred by using a market order rather than waiting for a limit order to be hit
- The per-share commission a broker charges for execution, separate from any bid-ask spread cost
- The search time needed to locate a willing counterparty to fill a large block trade at a fair price
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