BestX Unveils Fill Position Metrics

BestX has rolled out its Q1 technology release, included in which is a new fill position metric for FX traders, a product that the firm believes adds another valuable dimension to analysing the performance of algos.

To compute the metric, BestX takes tick data during the execution window and then compares that to the prices hit by the algo, thus enabling the firm to see when and where the algo actually did hit the best available price. By ranking the fill prices to the ticks, BestX is able to assign a value between 0 and 100 to the execution based upon weighted notional averages of the individual fills, with 100 representing perfect execution in terms of accessing the best possible price on every child order.

The metric is likely to prove valuable to both buy and sell side as the former have additional insight into their execution quality, while the latter can use the metric to recalibrate their algos.

BestX has also released a post-fill position metric which runs exactly the same calculation, for the same length of window, but immediately following the execution, which can help execution analysts better understand their market impact.

Colin Lambert

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