Having trouble remembering the formulas for implementation shortfalls, It’s confusing to me on when to use the “benchmark” vs “close of the day” price. Anyhow here’s what I have written down, feel free to post comments/corrections. Explicit Cost = Commish/Total $ Value of Trade Realized PL = (Filled order/Total order) x ((Executed Price - Prev Closing Price) / Benchmark) Delay = (Filled order/Total order) x ((Closing price of the day when order is not 100% filled - Prev Closing)/Benchmark) Opportunity Cost = Unfilled / Total x (Closing price of the day when order is cxl - Benchmark)/Benchmark) Thanks
Are you sure the formula for Delay is right? key is to realize the combination of realized PL + delay is equivalent to PL on the filled order over the benchmark. Shouldn’t they be: Realized PL = (Filled order/Total order) x ((Executed Price - Prev Closing Price) / Benchmark) Delay = (Filled order/Total order) x ((Prev Closing - Bechmark)/Benchmark)