Measuring execution against arrival.

A signal is only worth what you capture when you trade it. Execution quality is where paper alpha turns into real P&L — or quietly disappears.

The arrival benchmark

Arrival price is the mid-price at the moment the decision to trade was made. Measuring fills against it — implementation shortfall — charges execution for everything that happened after the decision: spread, impact, timing and missed fills.

Why not VWAP?

A VWAP benchmark is easy to beat by trading passively and easy to game by trading with the volume you create. It answers "did we trade like the market?", not "did we capture the signal?".

What to log for every order

• Decision time and the arrival mid.
• Every child order: venue, size, limit, time sent, time acknowledged.
• Every fill with its price, size and liquidity flag.
• The unfilled remainder and what the price did afterwards.

With that record, slippage stops being a feeling and becomes a number you can attribute — and improve.