Execution and Transaction Cost Analysis

9 algorithms · 2 families · D13

Schedule-Based Execution

TWAP Execution contract twapExecution(total_quantity, start_time_ms, end_time_ms, bucket_count, lot_size)
Historical VWAP Execution contract historicalVwapExecution(total_quantity, historical_bucket_volumes, lot_size, profile_id)
Adaptive VWAP Execution contract adaptiveVwapExecution(total_quantity, realized_market_volumes, remaining_forecast_volumes, executed_quantity, lot_size, forecast_version)
Percentage-of-Volume Execution contract percentageOfVolumeExecution(total_quantity, participation_rate_bps, market_volume_buckets, lot_size, max_child_quantity)

Almgren-Chriss Optimal Execution contract almgrenChrissOptimalExecution(input)
Implementation-Shortfall Execution contract implementationShortfallExecution(input)
Arrival-Price Execution contract arrivalPriceExecution(input)
Liquidity-Seeking Execution contract liquiditySeekingExecution(input)
Opportunistic Dark-Pool Execution contract opportunisticDarkPoolExecution(input)