Implementation Shortfall Analytics is the quantitative measurement and analysis of the difference between the theoretical execution price of an order at the time of decision and its actual realized execution price. Its purpose is to quantify trading costs.
Mechanism
This analysis calculates the total trading cost by disaggregating explicit costs, such as commissions, from implicit costs, which include market impact, delay costs, and opportunity costs. It compares a hypothetical benchmark price with comprehensive actual trade data.
Methodology
The strategic aim is to assess the efficiency of order execution algorithms and trading desk performance. This methodology provides insights to refine trading strategies, optimize liquidity sourcing, and reduce overall transaction costs for institutional crypto trades, enhancing trading efficacy.
Standardized quote timestamps enhance implementation shortfall calculation precision for block trades, yielding superior execution analytics and capital efficiency.
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