Implementation shortfall is the gap between the price when you decided to trade (the arrival price) and the average price you actually paid, including fees and market impact. It is the single most honest measure of execution quality for a large order.
Shortfall rolls three costs into one number: the spread you crossed, the impact your own buying had on the book, and the drift of the market while you worked the order. A low shortfall means you got close to the price you saw when you committed.
Unlike VWAP, shortfall penalises taking too long (drift) as well as trading too fast (impact), so it reflects the real cost of a decision rather than a venue average. It is the benchmark a board or auditor can tie back to the moment of the decision.
EnsoTrade prices a large order against live order books across venues — which venues to use, what size each piece should be, and whether to rest an order or cross the spread. It is independent measurement, not execution: your own desk or execution partner keeps placing the orders on its own accounts, and we never touch custody, keys or funds. Before a window we price it at your real clip size on the venues you can use; after a window we score the fill with full workings. We quote no price or saving until you give your real clip size and fee stack — then the number is yours to check.
Price an order before you trade and score the fill after, on live multi-venue order books. We never touch custody, keys or orders — the independence is the point.
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