Post-Trade Analysis#

Every parent order executed through Anboto comes with a post-trade analysis: a full execution-quality report that scores your order against standard benchmarks, breaks down where the algorithm saved (or cost) you money, and shows how the market behaved around your trade. Use it to verify execution quality order by order, and to tune your strategy, urgency, and settings over time.

Where to find it#

Per order — in the History tab, click the Analysis icon on an order's row. The icon is available once the analysis is ready for that order.
Aggregated — in the app's Metrics menu, open Post trade analysis to view the same metrics aggregated over a period. You can filter by period, strategy, asset class (spot/future), exchange, and side. Aggregates are notional-weighted averages across your parent orders, so large orders count for more than small ones.

Open it from the Metrics menu

pro.anboto.xyz/metrics/post-trade-analysis currently returns a 404 if you open it directly, so bookmarks and pasted links do not work. Navigate to it from the Metrics menu inside the app. A fix is in progress.

The metrics at a glance#

Metric	What it measures	Unit
Slippage vs. arrival price	Cost versus the mid price when you submitted	bps
Slippage vs. TWAP	Execution versus the market's time-average over the order window	bps
Slippage vs. VWAP	Execution versus the market's volume-average over the order window	bps
Slippage vs. impacted price	What the algo saved versus sweeping the book instantly	bps
Maker-taker savings	Fee delta earned by executing passively	bps
Spread savings	Spread captured by resting instead of crossing	bps
Cost of repricing	Cost of chasing the market when passive orders were repriced	bps
% orders cancelled	Share of child orders cancelled while repricing	%
NET savings	Maker-taker + spread savings − cost of repricing	bps
Fees (maker / taker)	Total fees paid, split by side of the fee schedule	USD and bps
% passive notional	Share of executed notional filled passively	%
Spread capture	How often the order avoided crossing the spread	0–100
Reversion 5 min	Price move 5 minutes after your last fill	bps
Volume participation	Your fills as a share of market volume	%
% time in limit	Share of traded volume that occurred while the market was inside your limit price	%

Positive slippage means you outperformed the benchmark; see the sign convention below.

Benchmarks and slippage#

Each parent order is scored against four benchmarks. Slippage against each is expressed in basis points (bps) of executed notional.

Benchmark	What it is	What slippage against it tells you
Arrival price	The mid price at the moment you submitted the order.	The total cost of the trade versus deciding instantly — the classic implementation-shortfall view.
TWAP	The time-weighted average market price over the order's lifetime.	Execution quality versus the market's time-average during your window.
VWAP	The volume-weighted average market price over the order's lifetime.	Execution quality versus the market's volume-average during your window.
Impacted price	The price you would have paid by sweeping your entire size against the order book at arrival — the "do it instantly" counterfactual.	What the algorithm saved you compared with smashing the book. On large orders this is usually the biggest positive number in the report.

Sign convention

Positive slippage means you outperformed the benchmark — you bought below it or sold above it. Negative slippage means you underperformed it.

Savings decomposition#

The analysis decomposes the algorithm's savings into three components, all in bps:

Maker-taker savings — the fee delta earned by executing passively (paying maker fees, or earning rebates, instead of taker fees). See Maker vs. Taker.
Spread savings — the spread captured by resting in the order book instead of crossing it.
Cost of repricing — the cost of chasing the market when passive orders had to be cancelled and repriced. This section also shows the % of orders cancelled.

These combine into a single headline number:

NET savings = maker-taker savings + spread savings − cost of repricing

A positive NET savings means the passive behavior paid for itself: what you earned in fees and spread more than covered what it cost to chase the market.

Fees#

The report shows your total fees, split into maker vs. taker — in USD and in bps of executed notional — along with the % of notional executed passively. The higher the passive share, the lower the blended fee rate for most fee schedules.

Spread capture#

A score from 0 to 100 measuring how the order interacted with the spread: 100 means the order never crossed the spread (fully passive fills), 0 means it always crossed. High spread capture is what you expect from Passive-style executions; lower values are normal for Aggressive styles or urgent orders.

Reversion 5 min#

Where the market went 5 minutes after your last fill, in bps, signed so that positive means the price reverted in your favor after you finished. Positive reversion indicates your footprint was temporary impact — the market bounced back once you stopped trading — rather than adverse selection.

Persistent negative reversion across many orders suggests you are trading too aggressively or signaling your intent to the market: consider a lower participation rate, a more passive style, or a longer duration.

Volume participation#

Your fills as a percentage of total market volume over the order's lifetime. Use it to check the order actually traded at the discretion level you intended — especially for POV orders, where it should sit close to your target rate.

% time in limit#

The share of market volume that traded while the price was inside your limit price — volume-weighted rather than a plain share of elapsed time, so busy periods count for more than quiet ones. A low value explains an incomplete fill on a limit-constrained order: the market simply wasn't at an acceptable price for most of the window, so the algorithm had little opportunity to execute.

What good looks like#

There is no single "good" number — it depends on order size, urgency, and market conditions — but across your orders you generally want to see:

Positive slippage vs. the impacted price — the algorithm beat the instant-execution counterfactual.
Positive NET savings — passive execution earned more in fees and spread than repricing cost.
High spread capture for passive styles — the algorithm rested rather than crossed.
Reversion near zero or positive — your impact was temporary, not adverse selection.
Volume participation consistent with your chosen POV rate or urgency — the order blended in as intended.

If a metric is consistently off — say, negative reversion or low NET savings — treat it as a signal to adjust urgency, duration, or trading style on future orders.

Analysis notes#

The analysis flags data caveats where relevant, for example:

Missing trades — some trades for the order could not be included in the analysis.
Approximated order book — the order book had to be approximated, in which case the spread-capture score is skipped.