I've read a few things about slippage online as I've never come across the term before. From a first look, it seems quite difficult to deal with. Anyone have any good papers/tutorials/books that I could read to get me up to scratch?
I made a stat.arb strategy that did relatively well without factoring in slippage and commission but bombed once I included them during backtest. I read somewhere that it pays to split up your orders but there was no explanation as to why (or how to do it in practice). With regards to commission, would you simply pay less? And with regards to slippage, is the issue related to high-frequency traders somehow seeing the large orders, beating you to it, and then selling it back to you at a higher price? Forgive my lack of understanding as I am completely new to this stuff.
Any insights would be greatly appreciated.
Thanks in advance.