CTA · Core
CTA Execution and Slippage
The live tax on a systematic futures book — impact, roll, and the fact that the signal is correlated with everyone else’s signal.
Definition
Paper trades at the signal bar’s close. Live trades at the next window, with impact. Fast sleeves and thin ags pay more. A billion-dollar program in a 2k-lot market is a different strategy than the backtest.
Why it matters
Capacity is an execution number. Many ‘unique’ short-term CTAs are capacity-constrained for this reason alone.
Case
A 20-day breakout that 30 programs hit in the same 15-minute window. The fill is the close plus a tick cluster.
How to read it
Assumed cost vs live TCA, and AUM vs ADV per market. If they will not cap a thin name, you own the impact.
No query has been run yet. Which is tragically normal for most knowledge systems, but we are trying to evolve past decorative databases.