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Kissell Research Group Data Sets

The following descriptions define the data sets provided in the file KRGExampleData.mat.

Basket Variables

The table Basket contains a trade list for a collection of stocks in a portfolio. For examples of using this data set, see Rank Broker Performance.

Real trade lists come from portfolio managers.

Table Variable Description

Symbols

Stock symbol.

Side

Side ('B' or 'S').

Size

Size (number of shares divided by average daily volume).

Shares

Number of shares.

Price

Stock price.

ADV

Average daily volume.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

POV

Percentage of volume.

BrokerNames Variables

The table BrokerNames contains the broker names and their associated market-impact code. For examples of using this data set, see Rank Broker Performance.

Real trade lists come from portfolio managers.

Table Variable Description

Broker

Broker name.

MICode

Market-impact code (1, 2, 3, and so on).

TradeData Variables

The table TradeData provides example data for a collection of stocks in a transaction. For examples of using this data set, see Conduct Sensitivity Analysis to Estimate Trading Costs and Estimate Portfolio Liquidation Costs.

Real market data comes from a data source such as Bloomberg®.

Table Variable Description

Symbol

Stock symbol.

Side

Side ('Buy' or 'Sell').

SideIndicator

Side indicator. 1 is a buy (add shares to portfolio). -1 is a sell (remove shares from portfolio).

AvgExecPrice

Average execution price.

ArrivalPrice

Arrival price. The price at the time the order enters the market.

PeriodVWAP

Volume weighted average price (VWAP). The VWAP compares the execution price to the interval VWAP price.

CCYRate

Currency rate.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

POV

Percentage of volume.

SectorCategory

Market sector category ('Energy', 'Industrials', 'Materials', and so on).

OrderSizeCategory

Order size category ('Large', 'Medium', or 'Small').

VolatilityCategory

Volatility category ('High', 'Medium', or 'Low').

POVRateCategory

Percentage of volume rate category ('Aggressive', 'Passive', or 'Normal').

MktCapCategory

Market capitalization category ('LC' is large cap, 'MC' is mid cap, 'SM' is small cap).

MomentumCategory

Momentum category ('Favorable', 'Neutral', or 'Adverse').

MktMovementCategory

Market movement category ('Favorable', 'Neutral', or 'Adverse').

ADV

Average daily volume.

Price

Stock price.

Size

Size (number of shares divided by average daily volume).

Alpha_bp

Alpha estimate per day in basis points.

Shares

Number of shares.

Broker

Broker name.

TradeDataCurrent and TradeDataHistorical Variables

The tables TradeDataCurrent and TradeDataHistorical provide example current and historical data, respectively, for a collection of stocks in a transaction. For an example of using this data set, see Determine Buy-Sell Imbalance Using Cost Index.

Real market data comes from a data source such as Bloomberg.

Table Variable Description

Symbol

Stock symbol.

Date

Transaction date.

MICode

Market-impact code (1, 2, 3, and so on).

Open

Stock open price.

VWAP

Volume weighted average price (VWAP).

Last

Stock last price.

Volume

Trade volume.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

ADV

Average daily volume.

Beta

Beta.

IndexOpen

Index open price.

IndexVWAP

Index VWAP.

IndexLast

Index last price.

Price

Stock price.

POV

Percentage of volume.

Shares

Number of shares.

PortfolioData Variables

The table PortfolioData provides example data for a collection of stocks in a portfolio. To use this data set, see portfolioCostCurves.

Real portfolio data comes from a portfolio belonging to a company or portfolio manager.

Table Variable Description

Symbol

Stock symbol.

Price_Local

Local price of the stock.

Price_Currency

Stock price with a specified base currency if the stock trades outside the United States. If the stock trades in the United States, Price_Currency has the same value as Price_Local.

ADV

Average daily volume.

Volatility

Volatility.

Shares

Number of shares.

PostTradeData Variables

The table PostTradeData provides example data for a collection of stocks in an executed transaction. To use this data set, see Analyze Trading Execution Results.

Real market data comes from a data source such as Bloomberg.

Table Variable Description

Symbol

Stock symbol.

Side

Side ('Buy' or 'Sell').

SideIndicator

Side indicator. 1 is a buy (add shares to portfolio). -1 is a sell (remove shares from portfolio).

Date

Transaction date.

DecisionTime

Decision time. The portfolio manager decides to buy, sell, short, or cover a position at this time. If no other timestamp is available, set this variable to the time when the portfolio manager enters the order into the trading system. If the portfolio manager does not have a timestamp for this decision, investors use the close time of the previous day, open time, or arrival time.

ArrivalTime

Arrival time. The trading system enters the order into the market for execution at this time. You can obtain it from the first trade from the electronic audit trail.

EndTime

End time. The portfolio manager specifies to complete the order at this time. Typically, this time is the end of the day or the time of the last trade.

AvgExecPrice

Average executed price.

OrderShares

Number of shares.

TradedShares

Number of shares executed.

Volatility

Volatility.

ADV

Average daily volume.

POV

Percentage of volume.

CCYRate

Currency rate.

MICategory

Market-impact category (for example, 1).

PrevClose

Close price of the previous day.

Open

Open price.

Close

Close price.

ArrivalPrice

Arrival price. The price at the time the order enters the market.

PeriodVWAP

Volume weighted average price (VWAP). The VWAP compares the execution price to the interval VWAP price.

Broker

Broker name.

Algorithm

Trading algorithm ('Dark Pool', 'TWAP', 'Arrival', and so on).

Manager

Portfolio manager name.

Trader

Trader name.

SectorCategory

Market sector category ('Energy', 'Industrials', 'Materials', and so on).

OrderSizeCategory

Order size category ('Large', 'Medium', or 'Small').

VolatilityCategory

Volatility category ('High', 'Medium', or 'Low').

POVRateCategory

Percentage of volume rate category ('Aggressive', 'Passive', or 'Normal').

MktCapCategory

Market capitalization category ('LC' is large cap, 'MC' is mid cap, 'SM' is small cap).

StockMomentumCategory

Stock momentum category ('Favorable', 'Neutral', or 'Adverse').

MktMovementCategory

Market movement category ('Favorable', 'Neutral', or 'Adverse').

StepOut

Investor field designation. This variable is optional for grouping and summary analysis. This field refers to a process where a broker (broker 1) receives an order from a client. Then this broker gives that order to another broker (broker 2) for its execution. Broker 1 receives credit for the trade but its performance applies to broker 2 who executed the trade.

ISDecisionPrice

Decision price. This variable is the stock price when the portfolio manager decides to buy, sell, short, or cover a position.

ISArrivalPrice

Midpoint of the bid-ask spread at the time an order enters the market.

ISEndPrice

End price. This variable is the stock price at the specified end time of the order.

ISFixedDollars

Fixed fees in dollars that include the commission, taxes, clearing and settlement charges, and so on.

TradeDataBackTest Variables

The table TradeDataBackTest provides example data for a set of stocks and a series of dates. The data contains historical trade information for each stock. To use this data set, see Conduct Back Test on Portfolio.

Real market data comes from a data source such as Bloomberg.

Table Variable Description

Symbol

Stock symbol.

Date

Historical transaction date.

Shares

Number of shares.

Side

Side ('Buy' or 'Sell').

Value

Dollar value of the stock in the portfolio.

Price

Stock price.

Size

Size (number of shares divided by average daily volume).

EstReturn

Estimated return decimal value for the stock in the portfolio.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

ADV

Average daily volume.

MktCap

Market capitalization.

TradeTime

Trade duration time.

POVRate

Percentage of volume rate.

MICode

Market-impact code (1, 2, 3, and so on).

FXRate

Foreign exchange rate.

POV

Percentage of volume.

TradeDataStressTest Variables

The table TradeDataStressTest provides example data for a set of stocks for a date range. The data contains trade information for each stock. To use this data set, see Conduct Stress Test on Portfolio.

Real market data comes from a data source such as Bloomberg.

Table Variable Description

Symbol

Stock symbol.

Date

Historical transaction date.

Shares

Number of shares.

Side

Side ('Buy' or 'Sell').

Value

Dollar value of the stock in the portfolio.

Price

Stock price.

Size

Size (number of shares divided by average daily volume).

EstReturn

Estimated return decimal value for the stock in the portfolio.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

ADV

Average daily volume.

MktCap

Market capitalization.

TradeTime

Trade duration time.

POVRate

Percentage of volume rate.

MICode

Market-impact code (1, 2, 3, and so on).

FXRate

Foreign exchange rate.

TradeDataPortOpt Variables

The table TradeDataPortOpt contains example data for a collection of stocks in a portfolio. This data contains lower and upper bounds for the constraints used in the portfolio optimization. To use this data set, see Liquidate Dollar Value from Portfolio.

To see the related covariance data for each stock in the portfolio, see the covariance data table CovarianceData.

Real portfolio data comes from a portfolio belonging to a company or portfolio manager.

Table Variable Description

Symbol

Stock symbol.

Date

Transaction date.

Shares

Number of shares.

Value

Dollar value of the stock in the portfolio.

Price

Stock price.

Size

Size (number of shares divided by average daily volume).

EstReturn

Estimated return decimal value for the stock in the portfolio.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

ADV

Average daily volume.

MktCap

Market capitalization.

TradeTime

Trade time.

MICode

Market-impact code (1, 2, 3, and so on).

LB_Wt

Lower bound weight.

UB_Wt

Upper bound weight.

LB_MinShares

Lower bound for the minimum shares.

UB_MaxShares

Upper bound for the maximum shares.

LB_MinPctADV

Lower bound for the minimum percentage of average daily volume.

UB_MaxPctADV

Upper bound for the maximum percentage of average daily volume.

LB_MinValue

Lower bound for the minimum value.

UB_MaxValue

Upper bound for the maximum value.

UB_MaxMI

Upper bound for the maximum market-impact cost.

TradeDataTradeOpt Variables

The table TradeDataTradeOpt provides an example trade list for a collection of stocks in a portfolio. For an example of using this data set, see Optimize Trade Schedule Trading Strategy for Basket.

Real trade lists come from portfolio managers.

Table Variable Description

Date

Transaction date.

Side

Side ('B' or 'S').

Shares

Number of shares.

Price

Stock price.

ADV

Average daily volume.

Volatility

A statistical measure of the dispersion of daily returns for a given security. Volatility is the standard deviation of daily log price returns over time. Kissell Research Group uses a 30-day historical period. Annualize volatility by multiplying by the square root of 250.

PctADV

Percentage of average daily volume.

Value

Transaction value.

Weight

Weight.

SideIndicator

Side indicator. 1 is a buy (add shares to portfolio). -1 is a sell (remove shares from portfolio).

MIRegion

Market-impact region.

Symbol

Stock symbol.

Alpha_bp

Alpha in basis points.

Beta

Beta.

Sector

Market sector, such as Energy.

MktCap

Market capitalization.

CovarianceData Table

The table CovarianceData contains a covariance value for all stocks in the portfolio data table TradeDataPortOpt. Each variable in the table is a different stock. To use this data set in the portfolio optimization, see Liquidate Dollar Value from Portfolio.

CovarianceTradeOpt Table

The table CovarianceTradeOpt contains a covariance value for each stock in the portfolio data table TradeDataTradeOpt. Each variable in the table is a different stock. To use this data set in the trade schedule optimization, see Optimize Trade Schedule Trading Strategy for Basket.

References

[1] Kissell, Robert. “A Practical Framework for Transaction Cost Analysis.” Journal of Trading. Vol. 3, Number 2, Summer 2008, pp. 29–37.

[2] Kissell, Robert. “The Expanded Implementation Shortfall: Understanding Transaction Cost Components.” Journal of Trading. Vol. 1, Number 3, Summer 2006, pp. 6–16.

[3] Kissell, Robert. The Science of Algorithmic Trading and Portfolio Management. Cambridge, MA: Elsevier/Academic Press, 2013.

[4] Kissell, Robert, and Morton Glantz. Optimal Trading Strategies. New York, NY: AMACOM, Inc., 2003.

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