Midpoint execution cost and spread calculator

Choose a contemporaneous reference

The midpoint is halfway between the bid and ask at a chosen reference time. Record that time alongside the fill. A midpoint from much earlier or later mixes market movement into the measurement.

The tool does not fetch a quote or validate its timing. The result is only as meaningful as the reference supplied by the user.

Make buys and sells comparable

For a buy, price cost per unit is fill minus midpoint. For a sell, it is midpoint minus fill. In both cases a positive result means an adverse difference and a negative result means price improvement.

The basis-point figure divides that signed difference by the midpoint and multiplies by 10000. This normalizes the price-unit difference without claiming the same liquidity across products.

Distinguish one-way cost from effective spread

One-way midpoint cost is the signed distance for this fill. The conventional two-sided effective-spread expression doubles that distance; the tool shows it under a separate label.

Doubling a midpoint distance is not evidence that an actual round trip would cost that amount. A later exit can face a different market and a different spread.

Add the explicit fee separately

Fee cost equals fill price ×quantity ×fee percentage. Price cost equals signed per-unit difference ×quantity. Their sum gives a reference-based one-way cost for this input.

Do not add a second assumed half-spread on top of a fill already compared with midpoint. That would double-count part of the observed price difference.

Avoid unsupported attribution

Midpoint-to-fill difference can reflect spread, quote delay, market movement and impact. A single midpoint and fill cannot isolate each component or diagnose a broker’s execution quality.

For multiple fills, first calculate a quantity-weighted average fill and retain the detailed records. Currency conversion, rebates, taxes and nonlinear contract payoffs require further adjustments.

What this tool does not calculate

• User-supplied midpoint and average fill; no live quote or execution-quality verdict.
• One-way linear-unit calculation; extra costs and currency conversion are excluded.