CoachFor an order of side executed at price when the mid was , the effective half-spread is : what the order paid relative to the mid. The realised half-spread at horizon is : what the liquidity provider kept once the price had moved. Both are usually quoted doubled, as spreads, and in cents or basis points.
Examples
Example 10.6 (Reading one fill)
The national best quote is ; a customer’s market purchase of 100 shares is filled at 20.018. Price improvement: 0.2 cent a share, 20 cents on the order. Effective half-spread: cent. Five minutes later the mid is 20.013: the realised half-spread is cent and the price impact 0.3 cent. The wholesaler’s gross revenue on this fill was 50 cents, out of which it pays the broker and its own costs.