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NAME

Finance::GeniusTrader::OrderFactory::MaximumSlippage

DESCRIPTION

In a Maximum Slippage test, we rig the software so that buy orders always suffer the maximum possible slippage : all buys occurs at the High of the day, and similarly all sells occurs at the Low of the day.

This idea came from author Fred Gehm; it's a torture test designed to see whether a system is robust against slippage.