Trading Execution Analysis

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Interactive execution analysis showing bid/ask spreads, fills, counterfactual prices, and slippage metrics. Use the top panel buttons to switch between views: Bid/Ask shows market spread with fills, Mid+CF shows counterfactual prices, +Peers adds peer asset lines, Progress shows execution completion over time, Spread Pos shows where fills occurred within the spread. The bottom panel shows cumulative slippage (Classical, vs VWAP, Refined), spread crossing percentage, or volume distribution.

Data Sources: This visualization uses data from RefinedSlippage.ExecutionData.

• Fills: Trade executions from exec_data.fills (time, price, quantity, execution_name, asset)
• Bid/Ask: Top-of-book quotes from exec_data.tob (time, symbol, bid_price, ask_price)
• Volume: Market volume from exec_data.volume (time_from, time_to, symbol, volume) - optional
• Peer Returns: Correlated asset returns from exec_data.fill_returns columns (computed via covariance matrix)
• Slippage Metrics: Summary statistics from exec_data.summary_bps (classical, refined, vs_vwap slippage)

To regenerate: exec_data = ExecutionData(fills, metadata, tob, covar_matrix; volume=volume) then calculate_slippage!(exec_data)