Assessing the quality of execution at the WMR Fix

Our latest research explores the application of the BestX Fill Position metric to assess the quality of the WMR 4pm Fix.

Interestingly, for most currency pairs analysed, the 4pm Fix appears to deliver prices centred around the mean of the day on average. There are some exceptions, notably some EM pairs, and also GBPUSD when analysing month-end dates only. However, further research showed that a similar quality of average Fill Position can also be achieved, with considerably reduced risk, by trading TWAP over liquid trading ranges.

If you are a BestX client and would like to receive the research paper please email contact@bestx.co.uk.