Class BestExecutionAnalyzer

java.lang.Object

com.quantfinlib.regulatory.BestExecutionAnalyzer

public final class BestExecutionAnalyzer
extends Object

Execution-quality analytics of the kind a MiFID II best-execution review starts from: slippage versus arrival mid (simple average per order and quantity-weighted), latency-to-fill distribution, fraction executed at or better than arrival, and per-venue slippage. It does not produce RTS 27 or RTS 28 reports. implementationShortfall(Side, double, double, double[], double[], double, double) decomposes one order's cost against its decision price (Perold 1988, J. Portfolio Management 14(3), 4-9).

Sign convention: slippage and shortfall are costs, positive when the execution was worse than the benchmark for the order's side.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	BestExecutionAnalyzer.BestExecutionReport	Best-execution summary.
static final record	BestExecutionAnalyzer.OrderOutcome	One parent order outcome.
static final record	BestExecutionAnalyzer.ShortfallDecomposition	Perold (1988) implementation shortfall of one order, in currency:

Constructor Summary

Constructors

Constructor	Description
BestExecutionAnalyzer()	Creates an instance; the explicit form of the default constructor.

Method Summary

Modifier and Type	Method	Description
BestExecutionAnalyzer	add(BestExecutionAnalyzer.OrderOutcome outcome)
static BestExecutionAnalyzer.ShortfallDecomposition	implementationShortfall(Side side, double decisionPrice, double arrivalPrice, double[] fillQty, double[] fillPrice, double unfilledQty, double closePrice)	Decomposes implementation shortfall into its components.
BestExecutionAnalyzer.BestExecutionReport	report()

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

BestExecutionAnalyzer

public BestExecutionAnalyzer()

Creates an instance; the explicit form of the default constructor.

Method Details

add

public BestExecutionAnalyzer add(BestExecutionAnalyzer.OrderOutcome outcome)

report

public BestExecutionAnalyzer.BestExecutionReport report()

implementationShortfall

public static BestExecutionAnalyzer.ShortfallDecomposition implementationShortfall(Side side,
 double decisionPrice,
 double arrivalPrice,
 double[] fillQty,
 double[] fillPrice,
 double unfilledQty,
 double closePrice)

Decomposes implementation shortfall into its components.

Parameters:

fillQty - executed quantities (positive)

fillPrice - matching execution prices

unfilledQty - quantity of the order never executed, ≥ 0

closePrice - price at which the unfilled part is marked