Has anyone ever built a testing model to test the max capacity of a strategy at scale? I'm looking to build one, and have a few ideas--but wanted to see if there were any other resources out there on the topic.
I was able to find this:
https://blog.quantopian.com/capacity-limitations-of-trading-algorithms/
It's a bit old and I feel there has to be a way to test beyond just using slippage estimates (without doing something heavy like simulating an order book--although the thought has crossed my mind of building an order Queue)
Please advise!
ZMazz