The
average market impact cost was 29 basis points (39 basis points) per $ 1 million traded for investment - grade (high - yield) corporate bonds.
However, the gains turned out to be temporary as prices completely reversed, turning the «gains» into nothing more than
market impact costs for the buyers.
Also, if you are trying to do an institutional - size trade in an ETP, you will find that
the market impact costs are significant.
Be careful of models that force frequent trading, particularly if they ignore commission costs, bid / ask spreads, and, if you are large enough relative to the market,
market impact costs.