equity pretrade · kdb+

Market impact

symbol

now / querying (UTC) — —

connecting

Data table Theme: auto

Es— = k₀— + k·β— + A·σ— · (V / vol)^γ— β bid–ask spread · σ volatility · vol per-second volume · V your order

Expected cost of your order

NVDA

Es at V = 5,000 —

Participation rate / sec

—

as-of

—

Order volume V (shares)

5,000

Set

Cost curve — Es(V) right now

instantaneous

Bid–ask spread β —

Volatility σ —

Volume / sec —

Expected cost Es —

Expected cost Es

at fixed V

Bid–ask spread β

Volatility σ

Volume / sec

engine · query latency

Client round trip —ms mean —

q server compute —µs mean — · max —

Queries served — 0 missing-data

Round trip vs server compute

client round trip q compute

q compute distribution

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