Hey @nithin , do you know after how much margin I will start seeing huge slippages in stock futures?
You will have to figure this out by looking at the market depth and with experience. It’s very hard to give an explicit number at which impact cost will go up.
By any chance do you know where I can get historical tick data for market depth data of 5 minute timeframe of the top 5 buyers and sellers for F&O stocks ?
This might help me figure out the impact cost
Hey, no one really stores or sells market depth data.
Don’t you think this is a void zerodha can solve? Many people might need this data while backtesting their strategies…
Not really, you are probably the first one who has requested for this in the last 13 years of business. Btw, the way most people backtest is to figure the impact cost and then multiply to the LTP to figure the efficacy of the strategy.