It is close to close price , but whether it is close to benchmark or close to last close? For instance , benchmark price or decision price=6 1 day pass and close at 6.1 second day pass and close at 6.2 third day you buy it then delay cost = 6.2-6/6 or 6.2-6.1/6?
I simulated it and make sure it is close to benchmark , haha
Day 2 revised benchmark is 6.1. So delay = fill/order*[(6.1-6)/6] Day 3 revised benchmark is 6.2. So delay = fill/order*[(6.2-6)/6]