Pre-trade calculator

Enter the details of the order and the characteristics of the symbol to trade.

Direction
Quantityunits
Work overhours
 
Current Price
Average Volumeunits
Is this ADV?
Volatility% annualised
Risk free rate% annually

Notes

1With 95% confidence.
2Assuming that market impact is proportional to volatility and square root of the relative size of the order.
3An order to buy can be regarded as having an implicit option to sell the symbol once it has been fully purchased. A reasonable investor would not wish to pay more for the symbol than indicated by this option. My thanks to Amaury De Ternay of BNP Paribas Asset Management for suggesting this.