Venue analysis is an essential tool for fine-tuning liquidity access to maximize the performance of execution algorithms, and yet it remains one of the most challenging aspects of Transaction Cost Analysis (TCA). The US equities market is fragmented across sixteen exchanges and over thirty off-exchange venues. Comparing the performance of execution venues is often oversimplified to measuring markouts across fills executed in each location. This broad view can be misleading because it ignores the nuances and complexity of the intent of the algorithm and the order type. 

Our latest paper introduces the fallacies markouts can create, pushing beyond traditional views for a deeper understanding of how child orders contribute to parent order performance. The paper covers:

• Nuances of measuring dark pool toxicity
• Fair evaluation of venue performance
• Evaluating venue performance from the perspective of algorithm intent

Select research is now available to BestEx Research clients only to ensure that we can provide our clients with valuable insights and the highest level of service. In an effort to foster future partnership, we’re sharing a preview of this paper below. Click the button below to preview an impactful excerpt.