Information Needed

Groups

Aggregated information should be calculated in following groups:

• date range
• side: buy, sell, short
• trading strategy: vwap, market participation, impl shortfall, etc.
• region
• currency
• market
• client
• size of orders: quantity / ADV
• Market Capitalization of names: (can refer to Barra's data)
  • Large: > $10B
  • Mid: $2B ~ $10B
  • Small: $300M ~ $2B
  • Micro: < $300M
• all orders

ADV:

Average Daily Volume. It can be calculated as the n-day average daily volume, or n-day median daily volume.

Order Summary Information needed

We need following information for analysis:

• basic information:
  • side
  • number of parent orders
  • quantity
  • executed quantity
  • notional executed value: sum(execPrice * execQty)
  • bench mark: daily vwap, timed vwap, or arrival price, etc.
• performance:
  • average of returns
  • standard deviation of returns
• top n best/worst performers