You could start by treating each algorithm as a node in a graph and then weighting that node by its order book footprint and latency – the classic market impact metric – then see how those weights shift the equilibrium price. Grab a spreadsheet, color code each strategy, run a simulation, and watch the volatility spikes. If you’re serious, get the raw trade logs, strip out the noise, and calculate the variance added by each algo. That’s the cleanest way to see the risk contribution.

Sounds like a textbook exercise in market microstructure, so don’t forget to keep that covariance matrix tidy—one stray off‑diagonal can turn a tidy spreadsheet into a horror show. If a single strategy is the culprit, you’ll either slash its exposure or hedge it with a spread that actually balances out its slippage, not just add another line item to the noise. Keep the post‑its close, but the data closer.

Got it, so you’re basically turning the market into a tidy spreadsheet. Good luck keeping those numbers straight when the traders start flipping pages.