☰

Help center › Orders

Execution quality

Volume-weighted slippage of each executed order against its arrival price, by algorithm, worst first.

At a glance

Where
Orders › Execution quality (/app/orders/quality)
Who
Everyone who can see orders; Traders use it most. Roles and permissions

Try it in the demo A private sandbox firm, no sign-up. Simulated data only.

On this page
Execution quality
Slippage per algorithm, then every executed order, worst first.

What it shows

  • One box per algorithm (VWAP, TWAP, All at once): the number of orders and their volume-weighted slippage. View → lists those orders.
  • The orders of the last 90 days, worst first: algorithm and slices, shares, arrival price (the simulated price when it was released), average fill, slippage in basis points and the cost in dollars. Above 15 bps an order is flagged Poor fill.

How slippage is measured

Slippage = (average fill − arrival) ÷ arrival, in basis points, signed so that a positive number is worse for you (paying more on a buy, receiving less on a sale). The fills are simulated against the half-hour price buckets of each security's simulated day, with spread and market impact; larger orders relative to average daily volume cost more.

What to do with it

  • Re-plan a working order's unfilled shares with another algorithm (Rework, or the blotter command "Move the VWAP orders for the Growth accounts to TWAP").
  • Use more slices for orders that are large against the security's average daily volume.
  • Save a blotter view with the slippage column and a colour rule ("Slip bps > 20 red").

Paper trading: fills are simulated, so the numbers show how the simulator behaves, not market execution.

  • Orders and the order list The life cycle of a (simulated) order, from proposed to filled, and the order list and order page where you act on it.
  • The trade blotter Every order you may see on one dense, live screen: filters, sorting, grouping, saved views, bulk actions, the AI filter and the blotter brief.
  • Blotter views and the view editor Save the blotter's fields, column formats, grouping, default filters, density and colour rules as a named view; share it with the firm.
  • Order health and exceptions The Operations queue: stuck orders, likely duplicates and executions waiting for their allocation; and the end-of-day compliance batch.

Do it with the API

Every action on this screen can also be done by your own systems, under the same permissions. See Authentication to get a token.

Paper trading only: orders and fills in Vestoris are simulated. Nothing here is investment advice.