Venue analysis is an essential tool for institutions to fine-tune liquidity access to optimize the performance of execution algorithms, and yet it remains one of the most challenging aspects of Transaction Cost Analysis (TCA). Our latest paper “Escaping the Toxicity Trap” introduces the fallacies that typical markout analysis can create, pushing beyond traditional views for a deeper understanding of how child orders contribute to parent order performance. The paper covers: ◾ Measuring dark pool toxicity ◾ Fair evaluation of venue performance ◾ Evaluating venue performance from the perspective of algorithm intent We’re sharing an impactful excerpt of this paper, now available on our website. https://lnkd.in/eVaa4Qr6 Get in touch with our team to learn more about venue analysis and our high-performance execution algorithms.
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Today, we’ve released a much-anticipated paper to clients "ESCAPING THE TOXICITY TRAP: How Strategic Venue Analysis Optimizes Algorithm Performance in Fragmented Markets" Venue analyses are used by venues themselves (to self-grade their performance), by brokers to fine tune their algorithms and by buy-side firms to judge the effectiveness of brokers algorithmic and routing strategies. There are several issues with traditional venue analysis- use of inappropriate time horizon, inappropriate units and worse, incorrect benchmarks. That is why venue analysis like much of TCA has become more of a check-the-box exercise rather than a tool to fine tune the algorithm performance. At BestEx Research, venue analysis is very much a critical tool to come up with the most optimal mix of venues for various algorithmic tactics (posting on lit, posting hidden on exchanges, taking on exchanges, posting in dark, pinging in dark, conditional orders etc.). This paper goes over some of the misleading/incorrect usages of venue analysis prevalent in our industry. This paper outlines our framework to judge venue performance for various tactics. We have also released a powerful TCA report accessible to all our clients from AMS that utilizes this framework. See an impactful excerpt of this paper here: https://lnkd.in/eVaa4Qr6
ESCAPING THE TOXICITY TRAP: How Strategic Venue Analysis Optimizes Algorithm Performance in Fragmented Markets
bestexresearch.com
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Want to learn more about our newest platform addition Dynamic Revaluation? Join us during our FREE webinar tomorrow! LAST CHANCE TO REGISTER HERE: https://lnkd.in/gBXJNHsN Sam Walters 🇺🇸 will explore the functionality and benefits of Dynamic Revaluation.
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How does Daylight Savings Time correlate to CIO Larry Adam and his team's views on the equity market? Find out in the latest Weekly Headings.
Weekly Headings: March 8, 2024
raymondjamesconnect.com
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How does Daylight Savings Time correlate to CIO Larry Adam and his team's views on the equity market? Find out in the latest Weekly Headings.
Weekly Headings: March 8, 2024
raymondjamesconnect.com
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How does Daylight Savings Time correlate to CIO Larry Adam and his team's views on the equity market? Find out in the latest Weekly Headings.
Weekly Headings: March 8, 2024
raymondjamesconnect.com
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Is the TTF finally getting out of it's slump? Chances are good! Intra-day charts are best suited to get early clues what the daily chart could be doing next. This sort of multi-timeframe analysis is covered in the next Clever Markets TA Academy so make sure you send me a DM to learn more. #TTF #natgas https://lnkd.in/eXxxF2xM
Video Market Huddle - 2 September '24 - Free Version - Clever Markets
https://www.youtube.com/
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How is SHIMPLE performing compared to the rest of the market? find out more with Yousuf M.Farooq, CFA, and watch the full video here: https://lnkd.in/eqVJqa-M
