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Implementation Shortfall:
Measured as a percentage and calculated as:
100*(Price-Mid[time_start])/Mid[time_start] for a Buy and
100*(Mid[time_start]-Price)/Mid[time_start] for a Sell
for the time interval [time_start] to [time_end]
The theoretical optimal benchmark for Implementation Shortfall is zero. This could only happen if every trade could be executed at the mid of the bid ask spread at the decision time: of course this is impossible. Internationally the Implementation Shortfall average value for excellent trading is around 50 basis points (i.e. 0.50 on our measuring scale).
VWAP Return:
Measured as a percentage and calculated as:
100*(Price-(VWAP [time_start to time_end]))/(VWAP [time_start to time_end]) for a Buy and
100*((VWAP [time_start to time_end])-Price)/(VWAP [time_start to time_end]) for a Sell for the time interval [time_start to time_end]
The theoretical optimal benchmark for VWAP Return is also zero. This can only happen if every trade achieves the VWAP price for the period in which the trade is being worked. A score of 0.50 means that on average the executions were 50 basis points more than the relevant VWAP prices.
Price Reversal:
Measured as a percentage and calculated as:
100*(Price-(VWAP [time_start to time_end + 5 minutes]))/(VWAP [time_start to time_end + 5 minutes]) for a Buy and
100*((VWAP [time_start to time_end + 5 minutes])-Price)/(VWAP [time_start to time_end + 5 minutes]) for a Sell for the time interval [time_start to time_end + 5 minutes]
The theoretical optimal benchmark for Price Reversal is also zero.
Volume Score:
Measured as a percentage and calculated as:
100*(Total Volume at a price less favourable than the execution price)/(total market volume).
In this performance metric one computes the quantity of total activity that transacted in the market at a price less favourable than the roleplayer's transaction price. The roleplayer's score is calculated in relation to all the other players in the market for the relevant time interval, namely time_start to time_end.
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