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.

Impact & Decay around WMR

Our latest research article analyses market impact and price behaviour around the WMR Fix.

In this paper we analyse market impact at the 4pm London Fix and measure the magnitude of speed of any subsequent price decay following the fixing window. Unsurprisingly given the very significant rise in volatility, we find that market impact has increased in 2020, and the impact around Q120 was markedly higher than previous quarters.

We also find evidence to indicate there is more permanent market impact (i.e. there is a smaller decay in the price) created at month ends compared to ‘normal’ days. This evidence would therefore suggest that, where possible due to mandate or operational constraints, it may be more optimal to rebalance on days other than month-ends.

Please email contact@bestx.co.uk if you are a BestX client and would like to receive a copy of the paper.

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.