Estimate Trading Costs for Collection of Stocks

This example shows how to estimate four different trading costs for a collection of stocks using Kissell Research Group transaction cost analysis.

Retrieve Market-Impact Parameters and Load Transaction Data

Retrieve the market-impact data from the Kissell Research Group FTP site. Connect to the FTP site using the ftp function with a user name and password. Navigate to the MI_Parameters folder and retrieve the market-impact data in the MI_Encrypted_Parameters.csv file. miData contains the encrypted market-impact date, code, and parameters.

f = ftp('ftp.kissellresearch.com','username','pwd');
mget(f,'MI_Encrypted_Parameters.csv');
close(f)

miData = readtable('MI_Encrypted_Parameters.csv','delimiter', ...
    ',','ReadRowNames',false,'ReadVariableNames',true);

Create a Kissell Research Group transaction cost analysis object k.

k = krg(miData);

Load the example data TradeData from the file KRGExampleData.mat, which is included with the Datafeed Toolbox™.

load KRGExampleData.mat TradeData

For a description of the example data, see Interpret Variables in Kissell Research Group Data Sets.

Estimate Trading Costs

Estimate instantaneous trading cost itc using TradeData.

itc = iStar(k,TradeData);

Estimate market-impact cost mi.

mi = marketImpact(k,TradeData);

Estimate timing risk tr.

tr = timingRisk(k,TradeData);

Estimate price appreciation pa.

pa = priceAppreciation(k,TradeData);