What if I collected all my trades but noticed only part of them have an arrival timestamp?

As of January 2025, the transaction cost calculations covers the period 2022 up to 2024. Therefore, it is indeed possible that those who started collecting arrival timestamps in 2024, they are still missing this important datapoint for the initial part of the period where transactional data is available. In such a case, one has to deal with several missing arrival timestamps, in which case one must follow the PRIIPs RTS-prescribed waterfall method:

First: Use a justifiable independent price as arrival price if available.

If unavailable: Use the opening price of the same day.

If still unavailable: Use the closing price of the previous day.

Ultimate fallback: Apply the half-spread for the asset class to which the instrument belongs.

Clarification on arrival timestamps: it should equal the time when an order to transact is transmitted to another person. There are the four key timestamps which should be distinguished:

Order timestamp: When the order is created/accepted by the submitting system (e.g., trader/OMS/EMS). Applies to any order type (market, limit, stop, etc.).

Arrival timestamp: When the order arrives at the execution venue or broker’s execution system (i.e., when it becomes actionable for routing/execution).

Execution timestamp: When an execution (fill) occurs, i.e., when the trade is matched/filled.

Settlement date: The contractual date when delivery-versus-payment occurs: securities are delivered and cash is paid.

For regular market orders, the order timestamp equals (approximately) the arrival timestamp. However, for limit orders, these can differ significantly. Hence it is important for the PRIIPs regulation to use the prescribed arrival timestamps.