Day: 7 December 2017

New Report Offers “Flash Crash” Definition

Pragma Securities has released a new report that analyses FX spot market data in order to provide a more accurate definition of exactly what constitutes a “flash crash”.

Arguing that previous reports on flash crashes “have tended to look at individual events in isolation” and that “discussion of the recent trend at industry events has been correspondingly anecdotal”, the paper attempts to define what a flash crash is and then systematically track the incidences of flash crashes using this definition.

Taking a Deeper Look

LMAX Exchange CEO, David Mercer, explains that some market participants need to take a deeper look at their FX execution in order to improve it. 

Discussing the findings of a whitepaper published by LMAX Exchange earlier this year, Mercer says that too often buy side firms only look at fill ratios and spreads to judge their execution quality.

Instead, Mercer advocates using five key metrics provided by each liquidity provider and trading venue being used by that trading firm to judge execution quality.

And Another Thing…

And so to the first Irrational of 2017 and we kick off with a new category – I had to, some of the old ones were very boring in 2017 – my Entertainer of the Year.
In years gone by this would, no doubt, have been awarded to a voice broker who ensured I drank my bodyweight in beer at least once a month, but thankfully the world has moved on from those days (my body weight has certainly increased as well).