Aggregate fills with quantity weights
Total quantity is the sum of all fill quantities, while traded notional is the sum of each fill price multiplied by its quantity. Average fill price is traded notional divided by total quantity. A simple average of prices is wrong when fill sizes differ. Add fee_quote amounts separately in the same quote currency. If the exchange charged a fee in another asset, convert it consistently before importing. Timestamps preserve the execution record, but this tool does not calculate a market-wide VWAP from those fills.
Apply the correct cost sign
For a buy, benchmark cost before fees is total quantity multiplied by (average fill price − benchmark price). For a sell, reverse that price difference so selling below the benchmark also produces a positive cost. Add quote-currency fees to obtain the fee-inclusive cost. Divide by total quantity multiplied by benchmark price and multiply by 10,000 to express the result in basis points. A negative cost indicates favorable execution against that particular reference, not proof that the complete trade made money.
Choose references before judging the result
Arrival price should correspond to a clearly defined decision or order-release time. The supplied market VWAP should cover the intended market and evaluation window. Changing either after seeing the fills can make an execution look better without changing what happened. This filled-quantity comparison excludes the opportunity cost of unfilled orders, cancelled quantities and later market moves. Keep partial orders distinct from completed ones when reviewing a broker or strategy. Comparing repeated executions under consistent benchmark definitions is more informative than selecting one favorable example.