medium · Market Microstructure market-impact
How is 'Execution Cost' defined within the IS framework for a buy order?
- The total amount of money paid to the exchange and broker in explicit taker fees and commissions on the fill.
- The average fill price of the executed shares minus the arrival price at the start of trading.
- The difference between the day's high and low print, used loosely as a proxy for volatility.
- The spread between the best bid and best offer quoted at the moment of the very first partial fill.
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