A framework for aggregating total cost of execution in FX

Our latest research article introduces a theoretical framework for aggregating all key components of execution cost into one, holistic measure. Analysing spread cost alone, or the impact from information leakage in isolation, only provides a piece of the puzzle. In addition, it is key, where the data is available, to also compute and include the opportunity cost from unfilled orders. Managing costs and achieving best execution is a complex and delicate balance between spread, impact and opportunity cost. Aggregating all three components provides a total cost of execution, thereby allowing more meaningful comparisons and decisions to be made.

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