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Quantitative Finance · Begrippenlijst

Wat is Fee-adjusted price?

Definition 7.2 Microstructure and Execution · Hoofdstuk 7 — Fees, Rebates and Venue Economics

The fee-adjusted price of a trade is its price plus the fee per share for a buyer and minus it for a seller, a rebate counting as a negative fee: what the trade costs or brings once the venue is paid. With ff the fee for the trade’s role and ε=±1\varepsilon=\pm1 its side, it is p+εfp+\varepsilon f.

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