What SlipYard Measures
Slippage is the gap between the price you expect and the price you actually get. For systematic traders running hundreds of executions, it compounds quietly and erodes realized returns — often more than commissions do.
What We Do
SlipYard computes execution condition scores for NYSE and NASDAQ equities using market microstructure signals: bid-ask spread in basis points, relative volume against a rolling 20-day baseline, VWAP deviation, short-horizon price momentum, Kyle's Lambda price impact coefficient, and Amihud illiquidity ratio. These features are calculated every 5 seconds across 208 tickers. The composite score reflects whether current conditions favor clean execution or carry elevated slippage risk.
Features Measured
- ✓ Bid-ask spread in basis points — measured at quote time, not estimated
- ✓ Relative volume — current volume vs 20-day rolling average
- ✓ VWAP deviation — price position relative to volume-weighted average
- ✓ Kyle's Lambda — price impact per unit of signed order flow
- ✓ Amihud illiquidity ratio — price movement per dollar of volume
- ✓ Time-of-day bucket — execution conditions vary predictably intraday
Current Status
SlipYard is live in beta. Every signal is graded against real outcomes 30 seconds after issuance. Model weights update every 4 hours. The system currently covers 208 liquid NYSE and NASDAQ equities with 5-second update frequency. It does not cover options, futures, or crypto.
Honest Limitations
What SlipYard does not do: it does not predict price direction, it does not measure post-trade fill quality against your actual broker fills, it does not cover multi-leg options structures, and it does not guarantee improved execution. It measures pre-trade conditions and scores them probabilistically.