fintech-algorithms
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Arrival-Price Execution

Install and import#

bash
npm install fintech-algorithms
ts
import { arrivalPriceExecution } from "fintech-algorithms/execution-and-transaction-cost-analysis/cost-risk-optimization/arrival-price-execution";

Signature#

arrivalPriceExecution(input)

Benchmarks against the price at the moment the decision was made, which front-loads execution. The most demanding common benchmark, because every second of delay is measured against it.

Parameters#

NameTypeNotes
inputArrivalPriceInputArrival price, quantity, horizon, and the aggression parameter controlling how quickly the order is worked.

Returns#

{ schedule, front_loading, expected_slippage_bps, … }

The schedule with its front-loading and expected slippage against arrival.

Errors#

  • When aggression falls outside its permitted range — throws

Complexity: time O(steps), space O(steps).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

input
{
  "remaining_quantity": 8000,
  "side": "buy",
  "arrival_price_atoms": 1000000,
  "current_price_atoms": 1000500,
  "tolerance_bps": 8,
  "observed_market_volume": 50000,
  "base_participation_bps": 1000,
  "defensive_participation_bps": 300,
  "max_participation_bps": 2000,
  "intervals_remaining": 10,
  "deadline_threshold_intervals": 2,
  "max_child_quantity": 1500,
  "lot_size": 100
}

Call#

arrivalPriceExecution(input)

Returns#

object with 12 fields: side, arrival_price_atoms, current_price_atoms, signed_move_bps, tolerance_bps, price_state, chosen_participation_bps, observed_market_volume, …

{
  "side": "buy",
  "arrival_price_atoms": 1000000,
  "current_price_atoms": 1000500,
  "signed_move_bps": 5,
  "tolerance_bps": 8,
  "price_state": "inside-band",
  "chosen_participation_bps": 1000,
  "observed_market_volume": 50000,
  "target_from_volume_quantity": 5000,
  "child_quantity": 1500,
  "remaining_quantity": 6500,
  "state": "inside-band"
}

Other exports#

This module also exports almgrenChrissOptimalExecution, implementationShortfallExecution, liquiditySeekingExecution, opportunisticDarkPoolExecution, calculate. Every module additionally exports run as an alias of its primary function, and a meta object carrying its catalog id, domain, family, shape and article URL.

Diagrams#

Arrival-Price Execution — system map

Calculation flow#

Arrival-Price Execution calculation flow 
flowchart LR
    S1["Validate benchmark side rates deadline volume parent c"]
    S2["Compute the signed move from arrival price"]
    S3["Apply deadline favorable adverse then insideband prece"]
    S4["Floor the volume target to lots and cap by parent and "]
    S1 --> S2
    S2 --> S3
    S3 --> S4
    S4 --> D{"signed move exactly plus or minus the tolerance"}
    D --> O["child_quantity + diagnostics"]
    O --> A["Audit: Child is lotaligned and cannot exceed the parent or max ch"]

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

The rest of the Cost/Risk Optimization family#