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LMAX Exchange CEO, David Mercer, introducing new white paper on execution quality & effective TCA

Today we launched our new whitepaper: ‘TCA and fair execution: The metrics that the FX industry must use

The aim is simply to propose a blueprint for FX TCA metrics that can equip ALL clients, with an effective evaluation of their trading costs and quality of execution.

AND? of course, the data analysed, does highlight the differences between trading on firm and last look liquidity.

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Video commentary by David Mercer, LMAX Exchange CEO

In short, the paper delves deep into the 5 metrics which should be evaluated:

  • Fill ratio
  • Price variation
  • Hold time
  • Spread and
  • Market impact

The intention is to create industry debate and provide some much needed clarity for customers currently faced with confusing, conflicting messages and a lack of standardisation of formats and calculations.

We believe the time is right for customers to regain control of their trading and be enabled to make an informed choice based on agreed metrics which are, after all, just basic arithmetic.

And while this white paper is from a ‘buy side’ perspective, it’s inclusive in scope and of benefit to ALL participants.

Of course we also fully expect the findings to be challenged and there is certainly more work to do. You will assume we are talking our own book, but our impartial data analysis shows LMAX Exchange doesn’t even win on all metrics ? but don’t take my word for it, download a copy of the white paper today and help create the transparency we’ve all been talking about for far too long.

We are also effectively distributing this white paper out to the whole “market” for critique and asking for your direct feedback. And going forward, we’d welcome more data and third party collaboration from venues, clients and progressive quality liquidity providers who want to differentiate themselves.

And if you have any questions or feedback please reach out to me directly on email david.mercer@lmax.com or social media. Or email the authors directly with your thoughts on TCAfeedback@LMAX.com. We look forward to a healthy debate.

Any opinions, news, research, analyses, prices or other information ("information") contained on this Blog, constitutes marketing communication and it has not been prepared in accordance with legal requirements designed to promote the independence of investment research. Further, the information contained within this Blog does not contain (and should not be construed as containing) investment advice or an investment recommendation, or an offer of, or solicitation for, a transaction in any financial instrument. LMAX Exchange has not verified the accuracy or basis-in-fact of any claim or statement made by any third parties as comments for every Blog entry.

LMAX Exchange will not accept liability for any loss or damage, including without limitation to, any loss of profit, which may arise directly or indirectly from use of or reliance on such information. No representation or warranty is given as to the accuracy or completeness of the above information. While the produced information was obtained from sources deemed to be reliable, LMAX Exchange does not provide any guarantees about the reliability of such sources. Consequently any person acting on it does so entirely at his or her own risk. It is not a place to slander, use unacceptable language or to promote LMAX Exchange or any other FX, Spread Betting and CFD provider and any such postings, excessive or unjust comments and attacks will not be allowed and will be removed from the site immediately.

LMAX Exchange will clearly identify and mark any content it publishes or that is approved by LMAX Exchange.

FX and CFDs are leveraged products that can result in losses exceeding your deposit. They are not suitable for everyone so please ensure you fully understand the risks involved. The information on this website is not directed at residents of the United States of America, Australia (we will only deal with Australian clients who are "wholesale clients" as defined under the Corporations Act 2001), Canada (although we may deal with Canadian residents who meet the "Permitted Client" criteria), Singapore or any other jurisdiction where FX trading and/or CFD trading is restricted or prohibited by local laws or regulations.

LMAX Limited operates a multilateral trading facility. LMAX Limited is authorised and regulated by the Financial Conduct Authority (firm registration number 509778) and is a company registered in England and Wales (number 6505809). Our registered address is Yellow Building, 1A Nicholas Road, London, W11 4AN.

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