How to measure slippage - look for negative surprises

The paper by Ilija I. Zovko, "Realtime price impact detection" provides an interesting solution to the slippage monitoring problem. Traditional methods for managing market impact typically rely on monitoring post-fill price slippage. This approach fails in real-time environments for two key reasons: Statistically Slow - Estimating price slippage requires hundreds of fills before the signal can be…