Transaction Costs

Read these first

1. 01Effective Spread, Realised Spread And Price Impact

   The quoted spread is what you see; the effective spread is what a trade actually paid; the realised spread is what the liquidity provider actually kept once the price moved on afterward. The gap between effective and realised spread is a direct measure of price impact.

2. 02Permanent Versus Temporary Impact

   When a large order moves the price, part of that move sticks and part of it fades. Splitting the two tells you how much you paid for speed versus how much information you leaked.

3. 03Pre-Trade Cost Models

   Before an order is sent, a desk estimates what it will cost to trade, spread, impact, and the risk of prices moving while you wait, and uses that estimate to pick how fast to trade.

Then the rest

1. 04Commissions, Exchange Fees And Transaction Taxes
2. 05Implicit Versus Explicit Trading Costs
3. 06Benchmark Gaming And VWAP Bias
4. 07Borrow Costs And Short Selling Fees
5. 08Broker And Venue Execution Scorecards
6. 09Calibrating A Market Impact Model
7. 10Decomposing Slippage
8. 11Delay Cost And The Decision Price
9. 12Post-Trade TCA Reporting
10. 13Statistical Significance In TCA
11. 14The Opportunity Cost Of Unfilled Orders