Today we launched our new whitepaper: â€˜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.
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 â€˜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 â€œmarketâ€ 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 [email protected] or social media. Or email the authors directly with your thoughts on [email protected]. We look forward to a healthy debate.