Costs and Implementation Shortfall
Execution cost includes explicit fees and the difference between actual outcomes and a chosen decision-price benchmark, including unexecuted opportunity cost.
Central questions
- Which timestamp establishes the decision price?
- How are spread, impact, delay, fees, and opportunity cost decomposed?
- What treatment keeps partial completion honest?
Planned model
Trace a parent order from decision through child fills and residual quantity, then compute shortfall under several price paths and completion outcomes.