Arrival price
Definition · Level 6 · Desk language
Keep reading with Tradecraft
Without a subscription, you can read three definitions every 30 days. Tradecraft explains all 988 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
The price, usually the mid, at the moment an order reaches the desk: the yardstick for slippage and implementation shortfall.
Example
The order arrives with the market 39.99 at 40.01: arrival price 40.00.
Where Tradecraft teaches it
Level 6 · Desk language, in the lesson “Benchmarks, slippage and impact”: How a desk scores execution: the arrival price, volume- and time-weighted averages, and implementation shortfall.
Related terms
- Best executionA broker’s duty to seek the most favorable terms reasonably available for a client order: price, costs, speed, likelihood of fill.
- Implementation shortfallTotal cost of carrying out an investment decision against the price when it was made: spread, impact, delay, fees, plus the missed move on shares…
- TWAPTime-weighted average price: a benchmark and algorithm that slices an order into equal pieces at fixed intervals, regardless of volume.
- VWAPVolume-weighted average price: Σ(price × shares) ÷ Σ shares over a period; also the algorithm that trades along the day’s volume curve to match it.
- “20 by 50”Size quote: the first number is the quantity on the bid, the second the quantity on the offer (round lots, contracts or millions, depending on the…
- “20 up”The same size on both sides of the quote: 20 on the bid and 20 on the offer.