Transaction Cost Analysis with QuestDB and Polars: VWAP, Slippage and Markout
A transaction cost analysis pipeline on live market data: VWAP, arrival slippage and markout curves in QuestDB SQL, handed to Polars over QWP.
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A transaction cost analysis pipeline on live market data: VWAP, arrival slippage and markout curves in QuestDB SQL, handed to Polars over QWP.