February 20th, 2012, 8:23 pm
I read somewhere in this forum that transaction cost assumption for equity should be around 10 - 20 bps. I feel it is too high. Let's say one does a pairs trading, long a $50 stock and short another $50 stock for 100 shares each.15 bps would means 15 * 0.0001 * (50 + 50) * 100 = $15?that is impossible, since even Interactive Broker offer 0.01 per share.So what is a reasonable transaction cost assumption for high frequency strategy? and what about medium frequnecy (30 minutes holding period)?Thanks,Steve