// GLOSSARY

Arrival price

The market price at the moment you decide to trade — usually the mid or the touch when your order arrives. Execution quality is measured against it: the gap between arrival price and your fee-adjusted fill price is your implementation cost.

Arrival price is the benchmark that answers "what could I have paid the instant I made the decision?" It's typically taken as the mid-price (or the near touch) at order arrival, before your own order moves anything.

Worked example

You decide to buy when a Kalshi market shows 41¢ bid / 43¢ ask — arrival mid is 42¢. You sweep the book and your average fill lands at 44.1¢ after fees. Your implementation cost is 2.1¢ per contract versus arrival: some of it the spread you crossed, some of it price impact, some of it the taker fee.

Why it matters

Strategies are usually backtested against mid prices. If your live fills consistently run cents worse than arrival, the backtest is fiction. Measuring every fill against arrival price — the way an execution receipt does — is how you find out whether routing and order-working actually pay. More in execution quality in prediction markets.