# Transaction Cost Analysis

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## Filters

The filter fields (date, account, pair, side, and strategy, and market type) at the top of the page apply to all the data visualizations on this page.&#x20;

## Summary

<table><thead><tr><th width="194">Field</th><th>Details</th></tr></thead><tbody><tr><td>Number of Orders</td><td>Number of orders</td></tr><tr><td>Number of Pairs</td><td>Number of unique pairs traded</td></tr><tr><td>Value of Orders</td><td>Sum of notional traded value of orders</td></tr><tr><td>Average Duration</td><td>Notionally weighted average of order duration</td></tr><tr><td>Participation Rate</td><td>Share weighted average of <em>executed quantity / market volume</em></td></tr><tr><td>Interval Return</td><td>Notionally weighted average log return of <em>arrival price vs departure price</em></td></tr><tr><td>Spread</td><td>Notionally weighted average spread of name</td></tr><tr><td>Exchange Fee</td><td>Sum of notional exchange fees </td></tr></tbody></table>

## Order Breakdown

Notional breakdown of each token bought/sold and strategy used, colored by the notionally-weighted arrival slippage.

## Fill Breakdown

* Notional breakdown of fills that acted as maker or taker across all orders
* Notional breakdown of exchanges that were used

## Timeseries Traded Notional

Shows the total notional traded by day of order entry

## Benchmark Costs

For all costs, negative (green) means the algorithm beat the benchmark and positive (red) means the algorithm incurred costs relative to each benchmark.

<table><thead><tr><th width="186">Field</th><th>Details</th></tr></thead><tbody><tr><td>Arrival Cost</td><td>Notionally-weighted, side-adjusted natural logarithm of <em>executed price</em> divided by <em>arrival price</em>. Arrival cost can show the shortfall in prices between the investment decision and execution.  </td></tr><tr><td>VWAP Cost</td><td>Notionally-weighted, side-adjusted natural logarithm of <em>executed price</em> divided by <em>VWAP</em>. VWAP costs can show how well the algorithm tracked market volume and show relative fill quality versus the weighted average price of the market during the order duration. </td></tr><tr><td>Departure Cost</td><td>Notionally-weighted, side-adjusted natural logarithm of <em>executed price</em> divided by <em>departure (last) price</em>. </td></tr><tr><td>Exchange Fee</td><td>Notionally-weighted <em>exchange fee</em> divided by <em>traded notional</em>. This shows the average exchange fee paid to help monitor exchange fee benefits.</td></tr></tbody></table>

## Order Size Distribution

A histogram of the number of orders, broken out by side, in a range of notional value or participation rate buckets.

## Arrival Slippage

A visualization of the distribution of orders' slippage from arrival price, normalized as a z-score, that is, the number of standard deviations away from the mean arrival slippage.

## VWAP Slippage

A visualization of the distribution of orders' slippage from VWAP, normalized as a z-score, that is, the number of standard deviations away from the mean VWAP slippage.


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