Here I compare the how well traders trade compared to the ideal. The line is the ideal, and is the information content assuming infintesionally allocated trading sizes. The dots are what they did. I set the trading resolution to $2 per trade. The X Axis is one over the transaction rate for the day. I have more charts, but my computer is crashing.
The key variable is how they spread out along the curve. Why is Oct 4,2007 a mess? That was just as the crash started, traders were trying to spread out but the yields were changin too fast?
I am still working this, between computer crashes. I have my SSqlLite connect to R, and I am doing to updates to my interface.
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