Execution cost

Aura measures what each order cost against the market it traded in, starting from the book its algo started on. This page covers the rules behind every figure, the arrival price, each figure the terminal shows and where, and why a figure can be missing.

How costs are measured

For a buy, a fill above the benchmark is a cost. For a sell, a fill below it is a cost. In both cases the figure is the gap between your average fill and the benchmark, divided by the benchmark, times 10,000.

The arrival price

Aura records the book your order's algo started on: the best bid and the best ask at that moment. This is the order's arrival book. Its midpoint is the arrival mid.

Aura captures it once:

• when it accepts an order that starts at once,
• when a scheduled order starts,
• or, when there was no market data yet for the market, on the first usable book, before any child order is sent.

Once recorded, the arrival book never changes, even when you amend the order.

If no usable book existed when the order started, the order has no arrival book: the Execution column reads Arrival book: Not captured, and the TCA column says there is nothing to measure the fills against. Once the report is in, Aura takes the arrival prices from its market record, and those figures can show.

A DMA order never records an arrival book, so it reads the same way: "—" while it works, then arrival prices from the market record at the moment you placed it.

You see the arrival book in the order sheet:

• Under Avg fill: Arrival mid and its price.
• In the Execution column: Arrival bid / ask (hover for when it was observed) and Arrival spread, in bps.

The order sheet

Headline figures

The figures at the top of the sheet include two cost lines:

• Avg fill, with the Arrival mid below it.
• Fees, with the fees in bps of the filled value and the share filled as maker.

The TCA column

The TCA (transaction cost analysis) column compares your fills with three benchmarks, one row each. Its first row, Your avg fill, is your average fill price, followed by net and your price net of fees once the report is in. Each benchmark row gives the benchmark's price and your cost against it. Costs are in bps to two decimals, so a fill one tick from its benchmark doesn't read as zero.

The last row, Participation, shows your executed quantity as a share of everything the exchange traded between the order's arrival and its end. The line under the rows gives both amounts and the time window, such as "0.5 of 12.4 BTC traded on Coinbase".

While the order works

The column reads Live. Arrival mid, before fees and Far touch come from the order's own average fill and its arrival book, and move as it fills. Sweep, net of fees and Participation wait for the report: "Sweep and participation come with the report, a few seconds after the order finishes."

After the order finishes

Aura computes the order's report from its record of the exchange's market. Until it is ready, the column reads Computing…. The report's figures then replace the live ones. An open sheet updates by itself.

If the report doesn't arrive, the column reads "The report is computed when the order finishes." Press Refresh to ask again.

A spreader

A spreader is measured on the spread it trades: the lead price over the hedge price, in bps of the hedge price. Its TCA column appears once it has finished.

Its first row, Realized spread, is the spread your fills realized, followed by all-in and the spread with each leg at its price net of its fees. Each benchmark row gives the benchmark's spread and your cost against it, in bps of the spread.

The realized spread is the lead's average fill over the hedge's average fill. It also shows in the sheet's headline as Realized spread, with the spread limit under it. The taker fee is your account's fee for each leg's market. When Aura doesn't have it, it uses what that leg's taker fills paid.

What the hedge left uncovered of the lead's fills is never priced into the figures. The Legs row shows it. Spreader explains the legs.

Child order timing

Once the report is in, the strip above the Children, Fills and Amendments tabs shows three medians over the order's child orders:

• Internal: Aura's own time, from what set a child order off (a change in the book, your order arriving, an update from the exchange or a TWAP slice coming due) to Aura sending it to the exchange.
• External: from sending it to the exchange accepting it, the network both ways included.
• First fill: from sending it to its first fill.

The Children tab shows all three for each child order. Hover a child's Internal or External to see the two added together. A child order the exchange rejected shows its Internal time only. Older child orders, from before Aura measured the two apart, show "—" in both. See Managing orders.

Order History

Once any listed order has a report, Order History adds two columns in its widest layout:

An order with no figure, such as a spreader or one whose report is still being computed, shows "—".

Portfolio

In Portfolio, select an account to see its Trading costs. Two figures cover the account's last 30 days:

The window covers orders that finished in it. It counts only orders whose report was computed, and never a spreader. A note gives how many orders finished in the window. See Portfolio.

Before you trade

The ticket shows three readings before you place an order: two from the live book and one from recent trading. See Placing an order.

These are readings of the book as it stands. Aura doesn't forecast what an order will cost.

When a figure is missing

A figure shows "—" when Aura can't compute it. The TCA column says why under its rows.

A paper order is measured against the live market. Your paper fills are not part of the exchange's volume, so Participation compares them with real trading.