Arrival price benchmark: measure fills from order arrival
An arrival price benchmark compares actual execution with the market state when an order reaches a defined point in the workflow. The report must identify the timestamp and reference price, such as the bid-ask midpoint, because arrival is not a universal database field.
- Timestamp
- Order arrival at a named system boundary
- Reference
- Midpoint, quote, or another stated price
- Main limit
- Delay before arrival is outside the measure
Key Takeaways
- Arrival price needs a named event boundary and a synchronized clock.
- Midpoint, bid, ask, and last trade can produce different benchmarks.
- A fill comparison must keep buy and sell signs consistent.
- Unfilled quantity and pre-arrival delay require separate treatment.
Define where arrival occurs
Arrival may mean receipt by an order management system, broker, algorithm, or venue. Choose one boundary and record its timestamp. If a portfolio decision happened earlier, arrival-price performance will not capture the delay between decision and arrival.
Choose the reference price
The bid-ask midpoint is common because it is side-neutral, but a policy may use the near quote, far quote, last trade, or another observable price. The report should keep the raw quote and the derived reference so the calculation can be audited.
Signed arrival cost
buyCostBps = 10,000 × (averageFill - arrivalPrice) / arrivalPrice
sellCostBps = 10,000 × (arrivalPrice - averageFill) / arrivalPriceHandle partial and unfilled orders
A filled-only average can omit the consequence of quantity that never traded. Report filled quantity, average fill, remaining quantity, end reason, and any later evaluation price separately. Do not fold missing values into zero-cost rows.
Arrival algorithms trade cost against risk
Broker arrival-price algorithms may vary pace using urgency, risk aversion, and maximum ADV participation. Faster trading can reduce exposure to later market movement while interacting more aggressively with available liquidity. This trade-off is broker behavior, not a result Pineify can guarantee.
Compare impact assumptions around the arrival notional
Use the Market Impact Cost Calculator for an illustrative size and volatility sensitivity check. It does not replace the arrival timestamp, quote capture, fill records, or fee data needed for a benchmark report.
This page is educational and does not provide investment advice or an execution recommendation. Order handling, market data, fees, venue rules, and fills vary by broker and market. Pineify does not route or execute live orders, and no method guarantees lower costs or better prices.