What do delay costs depend on?

Delay costs refer to the potential losses incurred when an order is not executed immediately. These costs are influenced significantly by the amount of the order that is eventually filled. When an investor places a large order, there is a risk that it may not be fully executed at the desired price due to market conditions or liquidity constraints. If only a portion of the order is filled, the investor may miss out on better pricing opportunities or incur higher costs as they adjust their trading strategy to account for the fills and potential market impact.

The amount actually filled becomes crucial in determining the delay costs because it reflects how much of the intended purchase or sale was successfully executed in the market. A smaller filled amount relative to the full order could lead to increased market slippage and additional costs. Moreover, the timing of the fills can also lead to variations in market prices, further affecting the overall cost incurred.