TradePeak - Execution Gap

virtual_planned_trading_orders: The decision: signal_date, order_type, signal_price (the close of that evening) and the optional limit_price.
virtual_trades: The execution on the following session: trade_date, price (the open), status and reason.
stock_data_raw: Used only for cancelled orders, where no fill price exists, to recover the market open of the execution day.
stock_universe: Supplies the company name for every symbol.

Gap: (open of execution day − close of signal evening) / close. Purely a market move, independent of the order side.
Impact: The same gap seen from the algorithm's point of view. A buy filled above the signal close is negative, a sell filled above it is positive.
Trap: An order whose impact is worse than the chosen threshold, or a buy that was cancelled because the open jumped past its limit_price.
Cost: shares × price difference for filled orders. Cancelled orders have no fill, so they show no cost, only a missed entry.

Chart: Each dot is one order on its execution day. Above the zero line the gap helped, below it the gap hurt. Dot size grows with the order volume.
Shapes: Filled dots are buys, rings are sells, diamonds are orders cancelled by the gap.
Bands: The dashed lines mark the trap threshold. Everything outside is listed first in the table below.

Overnight Gap per Order

Signal close of the evening before versus the open we actually traded at, seen from the algorithm's perspective.

gap worked in our favour gap worked against us cancelled by the gap filled dot = buy · ring = sell · dot size = order volume

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Orders sorted by how much the overnight move cost the algorithm. Traps are highlighted.

Signal evening	Execution	Value	Algo	Side	Close	Open	Gap	Impact	Cost	Status
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