Foreign Exchange

Actual Spread and Impact Costs

Spot

Cost arising from the spot FX component of the FX trade or portfolio in question, calculated by taking the difference between the executed spot rate for the trade and the market spot mid-price estimated for the closest time stamp to the trade.

Forward

Cost arising from the forward FX component of the FX trade or portfolio in question. The actual executed forward points are computed and compared to the market mid forward points for the tenor for the closest possible time stamp.

Total Spread

Total actual cost for the trade or portfolio, calculated by summing the Actual Spread Costs in USD. When viewed for portfolios, the basis point (bp) cost value is a volume weighted average. We provide total spread cost in USD and BPS.

Expected Spread Costs

Spot Expected Spread

Estimated spot spread cost for the FX trade, represented as a cost in basis points (spread to mid), thereby taking into account size, time of day, liquidity etc. Expected costs are computed using the BestX fair value cost model, more details available upon request.

Forward Expected Spread

Estimated spread cost for the forward point component of the FX trade, represented as a cost in basis points (spread to mid), thereby taking into account size, time of day, liquidity etc. Expected costs are computed using the BestX fair value cost model, more details available upon request.

Impact Cost

Actual Impact

Estimate of actual market impact, measured as the difference between the executed rate and the top of book bid/offer, using market data as close to the execution time stamp as possible. Thus, this value is a sub-component of Actual Spread, although this value is floored at zero to avoid negative market impact values.

Spot Expected Impact

A measure of the expected market impact for a given spot FX trade or portfolio, as estimated by the BestX fair value cost model.

Netting Benefit

An estimation of the cost saving realized through the netting of FX orders and trading as a Block. The metric uses the BestX expected cost model to compare the expected cost of trading the gross set of orders vs the net Block trade. Only present if the portfolio has Block trades linked with a Parent Order ID.

Range of the Day

A simple graphical representation is provided of where the executed price for a given trade falls within the high-low price range witnessed during that trading day, which runs from midnight to midnight GMT.

Benchmarks

Risk Transfer Price

Represents performance against the fair value risk transfer price of the trade as estimated by the BestX Fair Value Risk Transfer model. N.B. This values is measured at the market arrival time stamp if available, otherwise it is measured at the execution time stamp.

TWAP Benchmarks

TWAP benchmarks, computed from independent mid-market data, are provided showing trade performance over various timescales:

• 1 Hr TWAP – average mid-price over the hour following the trade completion time
• Interval TWAP – average mid-price while the trade was active (used for trades executed over a window of time, such as algos)

WMR Fix

Performance against the official FX WMR fixings is also available for those users that subscribe to the WM Refinitiv benchmark data feed.

Arrival Price Benchmark

Performance against the observed arrival mid, snapped at the supplied market arrival time stamp for a given trade, if available. For a parent trade all children are revalued at the market arrival time stamp of the parent which may either be specified explicitly or is taken as the arrival time stamp of the first child order. Please note, if a market arrival time stamp is not supplied, the benchmark is computed relative to the completion time stamp.

Far Touch

Performance against the observed best bid or offer at the closest time stamp to execution, depending on whether the trade was a buy or sell. So, if the trade was a buy, the Far Touch benchmark would be the difference between the traded price and the observed offer price. Please note, that unlike the Impact Cost measure, which is similar, this value is not floored at zero.

Sharpe Ratio

Simply the average benchmark performance in basis points divided by the standard deviation of benchmark performance in basis points.

Pre and Post Trade Revaluation

Analysis of the market moves in the appropriate currency pair or security, prior and post the execution time. A comparison of the client price paid with mid at intervals of +/- 1 seconds, 30 seconds, 5 minutes and 30 minutes is provided and can be used as additional information regarding potential market footprint and impact. An additional option is available that provides millisecond granularity. Cost revaluation allows users to see how cost has changed in the corresponding time increments before and/or after the execution time.

Signalling Measures

Computed for Algo trades where child order data is available.

BestX Signaling Risk

This score is a measure of the autocorrelation of the individual child order execution prices with the underlying market, and is bounded between -1 and +1. The higher the number, the higher the relative signaling risk.

BestX Signaling Score

This metric is a form of Sharpe Ratio estimated over the execution window, and can be thought of as a form of ‘signal to noise’ ratio. A high BestX Signalling Score number indicates that the participation rate of the order was too high relative to the underlying market, i.e. the market has not digested the order well, potentially resulting in information leakage. As with the BestX Signalling Score it is best used as a means of relative comparison between trades.

Fill Speed

The average amount filled per minute by the algo in million USD notional equivalent. This is to deliver a speed measure so that higher the speed, the more notional an algo can fill for the same unit of time. Duration defined as time between market arrival and last fill (not including forward roll), including any periods when algo was inactive.

Fill Position and Post Fill Position

Fill position is calculated by measuring the achieved fills against all the observed ticks in our market data feeds over the period the algo was active. This provides a fill position score, where the best fill possible would be ranked 100 and the worst 1 and the final score will be the notional weighted average of the individual fills. The post fill position takes those same fills and instead compares them vs the market data feeds for the time window after the algo has finished (so if algo was working for 1hr, post fill will be for the following 1hr - the time periods will always be the same).

Signalling Regime

In order to help with interpretation of the signalling metrics which are calculated for algos, we have now introduced 3 Signalling Regimes - which appear as an additional label if that regime has been observed. In summary, these are:

Market Momentum: Market is moving away from the client (i.e. moving higher when buying)
Averaging In: Market is moving in the client’s favour (i.e. moving lower when buying)
Mean Reversion: A range bound environment

Implementation Shortfall

A post-trade metric to show the slippage versus a range of time stamps defining the trade lifecycle. The application currently supports 4 time stamps per trade:
Order Origination (i.e. when the portfolio manager decides to trade)
Desk Arrival (i.e. when the order arrives with the Execution Desk)
Order Submitted (i.e. when the order is first submitted to the counterparty or market directly)
Order Completed (i.e. when the order is fully filled)
Depending on the EMS/OMS source, other time stamps could be available (Order Approved Time, Market Arrival, Quote Time, Quote Acceptance). The chart displays the difference in executed price and the prevailing market mid for each of these time stamps, showing the ‘shortfall’ or slippage for each stage of the order process in basis points.

Fixed Income

Actual Spread and Impact Costs

Bond

Spread cost for bonds measured as a spread to mid, measured as close to the trade time stamp as possible. The priority is always to use a tick price for the specific security, although if tick data is not available for a given ISIN, then alternative methods may be deployed, including interpolating from a yield curve or using losing quote data.

Future

Costs arising from futures trades in the portfolio, calculated by taking the difference between the executed futures price for the trade and the exchange published mid-price estimated for the closest time stamp to the trade.

Actual Impact

Estimate of actual market impact, measured as the difference between the executed rate and the top of book bid/offer, using market data as close to the execution time stamp as possible. Thus, this value is a sub-component of Actual Spread, although this value is floored at zero to avoid negative market impact values.

Expected Impact

A measure of the expected market impact for a given Bond or Future trade, as estimated by the BestX fair value cost model.

Range of the Day

A simple graphical representation is provided of where the executed price for a given trade falls within the high-low price range witnessed during that trading day, which runs from midnight to midnight GMT.

Benchmarks

Risk Transfer Price Benchmark

Represents performance against the fair value risk transfer price of the trade as estimated by the BestX Fair Value Risk Transfer model. N.B. This values is measured at the market arrival time stamp if available, otherwise it is measured at the execution time stamp.

TWAP Benchmarks

TWAP benchmarks, computed from independent mid-market data, are provided showing trade performance over various timescales:

1 Hr TWAP – average mid-price over the hour following the trade completion time
Interval TWAP – average mid-price while the trade was active (used for trades executed over a window of time, such as algos)

Arrival Price Benchmark

Performance against the observed arrival mid, snapped at the supplied market arrival time stamp for a given trade, if available. For a parent trade all children are revalued at the market arrival time stamp of the parent which may either be specified explicitly or is taken as the arrival time stamp of the first child order. Please note, if a market arrival time stamp is not supplied, the benchmark is computed relative to the completion time stamp.

Previous Night Close

Performance against the observed mid at the previous close.

Start & End of Day

Performance against the observed mid at market open and close.

Far Touch

Performance against the observed best bid or offer at the closest time stamp to execution, depending on whether the trade was a buy or sell. So, if the trade was a buy, the Far Touch benchmark would be the difference between the traded price and the observed offer price. Please note, that unlike the Impact Cost measure, which is similar, this value is not floored at zero.

Sharpe Ratio

Simply the average benchmark performance in basis points divided by the standard deviation of benchmark performance in basis points.

Signaling Risk Measures

Only computed for Algo trades where child order data is available.

BestX Signaling Risk

This score is a measure of the autocorrelation of the individual child order execution prices with the underlying market, and is bounded between -1 and +1. The higher the number, the higher the relative Signaling risk.

BestX Signaling Score

This metric is a form of Sharpe Ratio estimated over the execution window, and can be thought of as a form of ‘signal to noise’ ratio. A high BestX Signalling Score number indicates that the participation rate of the order was too high relative to the underlying market, i.e. the market has not digested the order well, potentially resulting in information leakage. As with the BestX Signalling Score it is best used as a means of relative comparison between trades.

Fill Speed

The average time in seconds that the algo has taken to fill 1m USD notional equivalent.

Fill Info

Child fills plotted over the life of the algo, versus prevailing market bid offer spread. The size of the bubble represents the notional size of the child fill. Cumulative average fill price of the algo is also plotted, together with the cumulative volume.

Fill Position and Post Fill Position

Fill position is calculated by measuring the achieved fills against all the observed ticks in our market data feeds over the period the algo was active. This provides a fill position score, where the best fill possible would be ranked 100 and the worst 1 and the final score will be the notional weighted average of the individual fills. The post fill position takes those same fills and instead compares them vs the market data feeds for the time window after the algo has finished (so if algo was working for 1hr, post fill will be for the following 1hr - the time periods will always be the same).

Signalling Regime

In order to help with interpretation of the signalling metrics which are calculated for algos, we have now introduced 3 Signalling Regimes - which appear as an additional label if that regime has been observed. In summary, these are:

Market Momentum: market is moving away from the client (i.e. moving higher when buying)
Averaging In: market is moving in the client’s favour (i.e. moving lower when buying)
Mean Reversion: i.e. range bound environment

Implementation Shortfall

A post-trade metric to show the slippage versus a range of time stamps defining the trade lifecycle. The application currently supports 4 time stamps per trade:
Order Origination (i.e. when the portfolio manager decides to trade)
Desk Arrival (i.e. when the order arrives with the Execution Desk)
Order Submitted (i.e. when the order is first submitted to the counterparty or market directly)
Order Completed (i.e. when the order is fully filled)
Depending on the EMS/OMS source, other time stamps could be available (Order Approved Time, Market Arrival, Quote Time, Quote Acceptance). The chart displays the difference in executed price and the prevailing market mid for each of these time stamps, showing the ‘shortfall’ or slippage for each stage of the order process in basis points.

Equities

Actual Spread and Impact Costs

Equity

Spread cost for equities is the difference between a client’s price and the mid price which is the average of the best bid and best offer at time of execution.

Total Spread

Total actual cost for the trade or portfolio, calculated by summing the actual spread costs in USD. When viewed for portfolios, the bp cost value is a volume weighted average. For equities, total spread cost includes spread cost, fees and commission. We provide total spread cost in USD and BPS.

Actual Impact

Estimate of actual market impact, measured as the difference between the executed rate and the top of book bid/offer, using market data as close to the execution time stamp as possible. Thus, this value is a sub-component of Actual Spread, although this value is floored at zero to avoid negative market impact values.

Expected Impact

A measure of the expected market impact for a given Equity trade, as estimated by the BestX fair value cost model.

Range of the Day

A simple graphical representation is provided of where the executed price for a given trade falls within the high-low price range witnessed during that trading day, which runs from midnight to midnight GMT.

Benchmarks

Risk Transfer Price Benchmark

Represents performance against the fair value risk transfer price of the trade as estimated by the BestX Fair Value Risk Transfer model. N.B. This values is measured at the market arrival time stamp if available, otherwise it is measured at the execution time stamp.

TWAP Benchmarks

TWAP benchmarks, computed from independent mid-market data, are provided showing trade performance over various timescales:
1 Hr TWAP – average mid-price over the hour following the trade completion time
Interval TWAP – average mid-price while the trade was active (used for trades executed over a window of time, such as algos)

Arrival Price Benchmark

Performance against the observed arrival mid, snapped at the supplied market arrival time stamp for a given trade, if available. For a parent trade all children are revalued at the market arrival time stamp of the parent which may either be specified explicitly or is taken as the arrival time stamp of the first child order. Please note, if a market arrival time stamp is not supplied, the benchmark is computed relative to the completion time stamp.

Previous Night Close

Performance against the observed mid at market open and close.

Start & End of Day

Performance against the market on open price and market on close price for equities. For US securities, we use the open and close as denoted by NYSE consolidated tape. For non US securities, we use regional consolidate data feed from Refinitiv.

Far Touch

Performance against the observed best bid or offer at the closest time stamp to execution, depending on whether the trade was a buy or sell. So, if the trade was a buy, the Far Touch benchmark would be the difference between the traded price and the observed offer price. Please note, that unlike the Impact Cost measure, which is similar, this value is not floored at zero.

Full Day VWAP

Volume weighted average price between market open and market close. VWAP where open and close represent market open and market close, respectively. For the US, we use the open and close as denoted by NYSE consolidated tape. For non US securities, we use regional consolidate data feed from Refinitiv. Total volume encompasses all share volume traded between market open and market close.

Interval VWAP

Volume weighted average price between order start and order end. Total volume encompasses all volume traded during the interval between order start and order end.

Available VWAP

Volume weighted average price between order start and market close. Total volume encompasses all volume available between order start and market close.

Sharpe Ratio

Simply the average benchmark performance in basis points divided by the standard deviation of benchmark performance in basis points

Signaling Risk Measures

Only computed for Algo trades where child order data is available.

BestX Signaling Risk

This score is a measure of the autocorrelation of the individual child order execution prices with the underlying market, and is bounded between -1 and +1. The higher the number, the higher the relative Signaling risk.

BestX Signaling Score

This metric is a form of Sharpe Ratio estimated over the execution window, and can be thought of as a form of ‘signal to noise’ ratio. A high BestX Signalling Score number indicates that the participation rate of the order was too high relative to the underlying market, i.e. the market has not digested the order well, potentially resulting in information leakage. As with the BestX Signalling Score it is best used as a means of relative comparison between trades.

Fill Speed

The average time in seconds that the algo has taken to fill 1m USD notional equivalent.

Fill Info

Child fills plotted over the life of the algo, versus prevailing market bid offer spread. The size of the bubble represents the notional size of the child fill. Cumulative average fill price of the algo is also plotted, together with the cumulative volume.

Fill Position and Post Fill Position

Fill position is calculated by measuring the achieved fills against all the observed ticks in our market data feeds over the period the algo was active. This provides a fill position score, where the best fill possible would be ranked 100 and the worst 1 and the final score will be the notional weighted average of the individual fills. The post fill position takes those same fills and instead compares them vs the market data feeds for the time window after the algo has finished (so if algo was working for 1hr, post fill will be for the following 1hr - the time periods will always be the same).

Signaling Regime

In order to help with interpretation of the signalling metrics which are calculated for algos, we have now introduced 3 Signalling Regimes - which appear as an additional label if that regime has been observed. In summary, these are:
Market Momentum: market is moving away from the client (i.e. moving higher when buying)
Averaging In: market is moving in the client’s favour (i.e. moving lower when buying)
Mean Reversion: i.e. range bound environment

Average Parent Order Completion Time (Minutes)

The amount of time in minutes between Order Origination (when a portfolio manager makes a decision) to order completion on the parent level.

Average Order Execution Time (Minutes)

The amount of time in minutes between Market Arrival (when a broker receives an order) to order completion.

Average Order Size

The amount of shares traded relative to the number of trades.

Liquidity (%)

The amount of shares traded relative to the day’s total volume.

Momentum (%)

The % change of price from the open to close in 1 day and we use the following formula:

Favourable: 1-day price increase (decrease) by more than +2% (-2%) for sell (buy)
Neutral: 1-day price change within a +2% and -2% range for buy and sell
Unfavourable: 1-day price increase (decrease) by more than +2% (-2%) for buy (sell)

Momentum is side adjusted. When selling (buying) a security, an investor faces favourable (unfavourable) momentum when the 1 day % change in price exceeds +2%. When selling (buying) a security, an investor faces unfavourable (favourable) momentum when the 1 day % change in price declines by more than -2%.

Relative Volatility (%)

The standard deviation of price for every trade on a trading day divided by the average price of all trades on the same trading day. This reflects the relative volatility of the security on any given day. It is not annualised. The formula is as follows:

Relative Volatility = Standard Deviation of Price (1 day) / Average Price (1 day)

Favourable: Relative Volatility is less than 5%
Neutral: Relative Volatility is between 5% and 20%
Unfavourable: Relative Volatility is greater than 20%

Relative Volume (%)

The executed share volume relative to the available volume for 1 day.

Favourable: Relative Volume is less than 5%
Neutral: Relative Volume is between 5% and 10% range
Unfavourable: Relative Volume is greater than 10%

Implementation Shortfall

A post-trade metric to show the slippage versus a range of time stamps defining the trade lifecycle. The application currently supports 4 time stamps per trade:
Order Origination (i.e. when the portfolio manager decides to trade)
Desk Arrival (i.e. when the order arrives with the Execution Desk)
Order Submitted (i.e. when the order is first submitted to the counterparty or market directly)
Order Completed (i.e. when the order is fully filled)
Depending on the EMS/OMS source, other time stamps could be available (Order Approved Time, Market Arrival, Quote Time, Quote Acceptance). The chart displays the difference in executed price and the prevailing market mid for each of these time stamps, showing the ‘shortfall’ or slippage for each stage of the order process in basis points.