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