Implementation shortfall
Definition · Level 6 · Desk language
Keep reading with Tradecraft
Without an account, you can read three definitions every 30 days. Tradecraft explains all 738 terms and strategies, with the lessons that teach them, flashcards that come back before you forget, quizzes and a payoff lab.
Total cost of executing an investment decision vs the price when it was made: spread, impact, delay, fees, plus the missed move on shares never filled.
Example
Decided at 80.00, sold part at 79.84, rest never done as it fell to 79.00.
Where Tradecraft teaches it
Level 6 · Desk language, in the lesson “Benchmarks, slippage and impact”: How a desk scores execution: arrival price, VWAP, TWAP 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 — not the biggest…
- TWAPTime-weighted average price: a benchmark and algo 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 algo that trades along the day’s volume curve to match it.
- “20 by 50”Size quote: first number = quantity on the bid, second = quantity on the offer (contracts, round lots or millions, depending on the product).
- “20 up”The same size shown on both sides of the quote: 20 on the bid and 20 on the offer.
- A buckFX, rates and bond-desk slang for one million (dollars or units of the currency traded).