Assume we look at all passive fills going through a security. How do we benchmark how good each passive fill is (relative to each other)?
We expect the edge to be (assuming midprice is our theoretical value) to be the spread between midprice and our fill, and our expected profit would take into account adverse selection & market impact as well.
That being said, given the last 100 fills (all executed with the same 'edge'), what is a good metric to rank those fills?
Also -- how can we quantify adverse selection?