Can anyone post the breakdown of the I/S formula.
Delated cost? Missed opportunity cost and Realized gain/loss? What types of price do we use
delay costs: Number of Shares filled in the order * close-to-close price change.
( close on day order went out to the close next day when order is not filled i.e. delayed , only for lots actualls filled )
Realized gain loss : Number of Shares filled in the order * traded-price-to-close-price-of the prior-day-when-order-was-not yet-filled price change.
( close next day when order is not filled i.e. delayed to the traded price , only for lots actualls filled )
So if you add these two costs , you get the IS( before commissions ) for the lots actually filled.
The Missed Opportunity is simply the unfilled lots times the price change from when the order went out to the close of the day after the next. This represents the IS on unfilled lots.
The last cost which you did not mention is the commission costs.