XVI · Implementation
Station XVI of The Quant Map: where paper alpha meets the market. Markouts, impact, adverse selection. Reading order plus the free map PDF.
where paper alpha meets the market
On Hyperliquid BTC in a studied window, a refused post-only buy returned about 0.31 basis points over ten seconds. The taker fee sat around 1.44 to 2.7 basis points. Stand aside as a taker; the edge does not clear the toll. Markouts are the truth serum: where the mid is a short time after you filled. Your own size walks the book at something near the square root of the fraction of volume you took. A simulation that fills you at mid, with no queue and no clock drift, is a different market from the one that sends the reject.
Paper alpha meets the queue, the fee, the borrow, and the clock here. Markouts and impact curves are the honest accounting of what touching the market costs.
The Quant Map PDF works this spine through example research: five full descents from observation to live rule, and a library of 835 strategy entries, each with a named payer and a named failure mode. Get the free PDF on the Start Here page.
Reading order
Top to bottom. Stop at the first article you cannot apply to a live trade; that is the one to read slowly.
| Article | Why it is on this row |
|---|---|
| Five Definitions of Fair Value, and the Trade Each One Implies | Name the subtraction before the trade. If the forecast is inside the fee, there is no trade. |
| Markouts: The Truth Serum of Market Making | Mark the fill against the mid a fixed time later. The backtest mark is a story you told yourself. |
| Adverse Selection Explained for Traders | The flow that hits your quote knew something. The spread is the rent you charge for that. |
| Adverse Selection Is Adverse Selection: Porting Fast-Fills-Are-Bad-Fills to FX and Futures | The fast fill is the toxic one in FX and futures too. |
| Market Impact and the Square-Root Law: Walking the Book to Price Your Slippage | Impact grows near the square root of size over volume. Put that in the cost line before you scale. |
| Quotes From the Future: Clock Drift and the Latency Floor | A timestamp that lies by a few milliseconds invents a lead. Sync the clocks before you believe the lead-lag. |
| Why Market-Making Simulations Don't Work | Queue position, cancel races, and adverse selection do not show up in a fill-at-mid simulator. |
| Execution Is Part of Expected Value: VWAP Slippage, the Five-Cent Threshold, and Why Copytrading an Arb Loses | The detector's profit and the copied order's profit differ by the spread and the queue. Count both. |
On the map: ← XV · Portfolio construction · The grand map · XVII · Live research →