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Square-root impact cost scenario

What model cost could a larger single order bring?

Volume and liquidity VOL-042 Line Sample

Sample data. Every number, symbol and holding on these pages is generated sample data dated 2026-10-16, used only to illustrate layout and method for educational and informational purposes. It is not market data, backtest output or a forecast, and the analytics described in the specifications are not running.

Download CSV Sample JSON Specification JSON Sample as of

0700.HK Tencent Holdings | Hang Seng Index | 2025-10-16 – 2026-10-16 | HKD

Highest item: Item F
189 bp
Lowest item: Item C
-24 bp
Average
77 bp
Number of items
6 items

Square-root impact cost scenario

Model impact (bp) (Line)

Relative to historical baseline (x)

Relative to historical baseline (x) (Bar)

Event detail and data date

Model impact (bp) and Relative to historical baseline (x) (Table)

Sample data rows

Order participation rate (Q / daily volume)Model impact (bp)Relative to historical baseline (x)Data date (sample)
Item A 117 1.66 2026-10-16
Item B 87 0.49 2026-10-16
Item C -24 0.6 2026-10-16
Item D 12 0.95 2026-10-16
Item E 79 1.76 2026-10-16
Item F 189 1.06 2026-10-16