Price limits in FX algos: fill your boots

Do limits affect performance? Double machine learning helps answer the question, says BestX quant.

Foreign exchange execution algorithms often contain price limits, but there is a common concern in the market that setting the thresholds too close to the mid-price will hamstring the algo and hurt its performance. Two experiments we have run show traders need not worry.

A peek inside GFXC’s algo cover sheets

Plans for new disclosures on foreign exchange trading algorithms are taking shape. The industry body tasked with overseeing currency markets is working on a list of items to include in ‘cover sheets’ that algo providers will be required to publish.