risk_transaction-cost
Estimate total transaction costs for trades including commission, spread, and market impact. Input trade value and optional parameters to receive cost breakdown and percentage.
Instructions
Transaction cost model: commission + spread + market impact estimation.
Use when estimating total transaction costs including commissions, spread, and market impact. Provide trade size, price, spread, and commission structure. Returns: total cost, cost breakdown, and cost as percentage of trade value.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| adv | No | Average daily volume in USD (for Almgren model) | |
| shares | No | Number of shares | |
| spread_bps | No | Bid-ask spread in basis points | |
| trade_value | Yes | Total trade value in USD | |
| commission_pct | No | Commission as percentage of trade value | |
| commission_flat | No | Flat commission per trade | |
| market_impact_bps | No | Estimated market impact in basis points | |
| participation_rate | No | Fraction of ADV consumed by trade | |
| commission_per_share | No | Commission per share |