CoachAn execution benchmark is the reference price an execution is measured against: the decision or arrival price (implementation shortfall), the volume-weighted price over the order’s interval or the day, the close. The slippage against it is the average execution price minus the benchmark, signed so that a positive number is a cost.
| algorithm | vs arrival | vs interval VWAP | vs day VWAP | vs close |
|---|---|---|---|---|
| patient | 2.42 | 1.90 | 2.51 | |
| urgent | 3.66 | 1.40 | 3.39 | 4.10 |
mx_tca.study.