The Best Execution Choices around the WMR London Close Fix

Our latest research focuses on WMR 4PM fixing execution pattern. The paper aims to explore the cost and benefit of different fixing execution strategies whilst identifying the potential information leakage before the fixing. We do this by comparisons against the BestX Expected Cost, assess deviations in the official WMR fix vs observed market mid rate at that time, apply our signalling risk metrics to the market paid/given data and finally interpreting the published WMR bid/offer spreads.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper, which is also hosted within our FAQ section of the UI.