TCA White Paper Metric #4 - Market impact
Slow LP response = sharp yield decay per $M traded.
This video is an excerpt from a full white paper 'walk-through' available at [ Ссылка ]
The TCA and fair execution white paper from LMAX Exchange proposes a blueprint for FX TCA metrics, that can equip clients and liquidity providers with an effective calculation of their cost of trading and quality of execution.
At 84 pages long, it is an extensive read - but through this educational video David Mercer, LMAX Exchange CEO, breaks down the white paper and walks you through the 5 TCA metrics, step-by-step, that the FX industry should use.
The video examines the differences between trading on firm vs last look liquidity; it highlights the failure of existing TCA metrics to capture the nuances and value of firm liquidity; and it demonstrates how the transparency of market dynamics can be used by traders to reduce trading costs and regain control of their execution strategies.
The 5 metrics are:
Fill ratio,
Price improvement,
Hold time,
Market impact,
Bid-offer spread.
These metrics deliver cohesive, complete, information enabling all participants to make informed decisions about their execution and liquidity strategies.
Download the full white paper [ Ссылка ]
Request a hard copy of the white paper TCAfeedback@LMAX.com
