Market Impact Analysis

Hello, everyone!

What are the canonical ways to measure intraday market impact?
Can MOC provide better liquidity and price on average than execution in regular hours?


  • Usually, we could use the price of the order filled minus the mid of market bid and ask price to imply the market impact. You could try to calculate this in function on_fill.
    MOC definitely provide better liquidity and price than regular hours, usually 10~30 times shares than normal.

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