Measuring an Algo Fill Profile – Centre of Mass

In our latest research article we present a new method for visualising the execution path of an algo and whether it executed more of the total notional at the start of execution period (front loading) or at the end of the period (back loading).

We condense this fill profile into a new metric, Centre of Mass, that can classify individual executions as either front or back loading. There isn’t necessarily any right or wrong as it clearly depends on the algo’s objective and the prevailing market conditions, but it can be useful to understand the behaviour when analysing an algo’s performance. This metric can therefore be used in conjunction with other BestX metrics (e.g. performance versus Arrival, market impact etc) to assess the performance differences across front and back loading algos.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.