In reference to this video, at around 21:10, there's a slide on characteristics of strategies that face relatively lower slippage risk. Could anyone please explain why:
- the expected paper PnL should be less than twice of spread, and
- the order sizes should be less than 25% of 1-minute participation rate?
Even though the rest of the points mentioned in the slide are clear, I can't understand the logic behind the above 2 points.