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Spread is the cheapest part. The expensive parts are timing, signalling, queuing, and adverse selection — and most retail-grade reporting hides three of them.
By Drovix Research Desk
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Streaming prices look tighter at the top of book. RFQ prices look wider. Once your notional crosses a venue-specific threshold, the picture inverts — and most desks find the threshold lower than expected.
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Leverage is not free, and the funding-stress component of its cost is paid by your counterparty even when nothing visibly bad has happened to you. A counterparty that does not understand its own funding curve is a counterparty whose spread will move on you for reasons you cannot diagnose.
Every alpha decays in size. Capacity is the notional at which your strategy's own market impact equals the alpha it was supposed to extract. Most desks discover their ceiling by hitting it; this post is about not.
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Most regulated retail brokers retain a portion of their internal book by design. The question is not whether to hedge it — it is how to hedge it without leaking alpha. A practical wholesale playbook.
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