Transaction Cost Analysis

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.

Summary

Field	Details
Number of Orders	Number of orders
Number of Pairs	Number of unique pairs traded
Value of Orders	Sum of notional traded value of orders
Average Duration	Notionally weighted average of order duration
Participation Rate	Share weighted average of executed quantity / market volume
Interval Return	Notionally weighted average log return of arrival price vs departure price
Spread	Notionally weighted average spread of name
Exchange Fee	Sum of notional exchange fees

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.

Field	Details
Arrival Cost	Notionally-weighted, side-adjusted natural logarithm of executed price divided by arrival price. Arrival cost can show the shortfall in prices between the investment decision and execution.
VWAP Cost	Notionally-weighted, side-adjusted natural logarithm of executed price divided by VWAP. 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.
Departure Cost	Notionally-weighted, side-adjusted natural logarithm of executed price divided by departure (last) price.
Exchange Fee	Notionally-weighted exchange fee divided by traded notional. This shows the average exchange fee paid to help monitor exchange fee benefits.

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.