Ok, so I basically made a Sharpe 8 algo (trading IWM/SPY/QQQ), with the chief unrealistic assumption being that fills are executed at the last trade price observed. If I delay fills by 1 s after order, almost all of my alpha goes way. I can to some extent get better results by predicting what will happen until the fill to avoid adverse selection, but the algo is still pretty disappointing then.
So the question is very simple: Is there a point in pursuing lower latency fills (by switching…