Playground
Execution Simulator
Square-root market impact + linear temporary impact + latency jitter. See the realistic slippage of any trade size before you route it. Free.
- Inputs
- Paste + configure
- Runtime
- 1–15 s
- Privacy
- Client-side · no upload
- API key
- Not required
- Methodology
- Open →
Simplified square-root + linear impact model from Almgren-Chriss (2000) and Kissell (2006). Real execution costs depend on regime, venue, HFT counter-trading, news, and microstructure quirks not captured here. Use this to size the order of magnitudeof your slippage, not to approve a block trade.
1 · Order & market inputs
Total slippage
6.1 bps
$3.05k
Permanent impact
2.0 bps
η·σ·√(X/V)
Temporary impact
0.1 bps
ε·σ·(X/V)
Half-spread cost
4.0 bps
Bid-ask cross
Fill duration
39.0 min
At chosen participation
Latency drift (1σ)
± 0.51 bps
worst ±0.72 bps
Notional
$5.00M
50.0k × $100
Order as % ADV
1.00%
2 · Fill schedule (participation-weighted)
Linear participation model: the order tracks a constant fraction of market volume until filled. Real VWAP/TWAP engines shape the curve (U-shape for VWAP, flat for TWAP) to match intraday liquidity.
Formulas
permanent_bps = η · σ · √(X / V) η = 0.10 temporary_bps = ε · σ · (X / V) ε = 0.05 half_spread = spread_bps / 2 total_bps = permanent + temporary + half_spread duration_min = X / (participation · V · 390 / 390) latency_drift = σ · √(latency_ms / ms_per_day) · 10_000 (bps, 1σ)
See methodology for coefficient sources, model limits, and when to stop trusting these numbers.
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