Is slippage when paper trading comparable to slippage in live trading?

I'm working on my first strategy, and as part of it I'd like to model slippage with ML. My plan to do this is to execute a bunch of trades with a paper trading account, and use the data from that to train a model that predicts slippage. While there are definitely cases where the price it fills at is different than the last bid/ask, it seems to be the exception rather than the rule. From reading posts here I've gotten the sense that slippage can be a death sentence to an otherwise profitable model, so I'm a bit worried that maybe slippage is worse when live trading. As a note, I'm executing these trades as market orders.

Any thoughts one way or another?

Submitted November 12, 2020 at 01:46PM by EdvardDashD
via https://ift.tt/2Uo8Zxu

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