Track 01Module 4 of 55 sources
Execution: getting in and out without overpaying
Choose order types on purpose, measure your own slippage, and understand how institutions slice large orders.
Key ideas
- Execution is a trade-off. Trade fast and you pay impact. Trade slowly and you carry the risk that price moves away.
- A short-term edge is small. Costs, taxes and slippage are certain. Many strategies that look profitable on a chart are negative after costs.
- Limit orders earn the spread but suffer adverse selection: they fill most reliably when price is about to go through them.
- Your slippage is a number you can measure. Most traders never do.
Start hereWatch or read these first. They carry the core idea.
Scalping Series
Playlist · In The Money by Zerodha · 6 videos
What very short-term trading on NSE demands in practice, including what costs do to it.
Course
Varsity Module 7: Markets and Taxation
Zerodha Varsity
Charges and tax on Indian trades. Know the exact cost of a round trip before sizing a scalp.
CoreThe standard references. Work through them once the idea is clear.
Paper
Optimal execution of portfolio transactions
Almgren, Chriss · 2001 · The Journal of Risk · doi:10.21314/jor.2001.041
The classic framework for trading a large order: the efficient frontier between impact cost and timing risk.
Book
Trading and Exchanges: Market Microstructure for Practitioners
Larry Harris
Read the chapters on order types and on liquidity. The clearest account of who pays whom.
Go deeperResearch, primary sources and data for when you want the detail.
Book
Algorithmic and High-Frequency Trading
Álvaro Cartea, Sebastian Jaimungal, José Penalva
The mathematics of execution and market making.
Practice
Export your last 50 trades. Compute average slippage against the price at the moment you decided to trade, add charges, and express the total as a share of your average win.
See it live
Where this leads
08.1 · Risk, Losses and ProcessPosition sizing and risk of ruinTurn a stop distance and an account size into a position, and understand why sizing matters more than entries.01.5 · Order Flow and MicrostructureIndia's tape: auctions, algos and the Jane Street caseKnow the rules that shape the NSE tape: sessions, closing auctions, expiry mechanics, algo rules and where regulators draw the line on manipulation.