Empirical Statistics of FX Algorithms

We would like to introduce BestX® Empirical Statistics of FX Algorithm Series where we showcase concise and insightful information pertaining to FX algorithms.  We will include topics such as algo execution speed, cost of algo forward rolls and other relevant statistics.  In Part 1 of the series, our research sheds light on the average execution duration of algorithms across various currency groups - G10, EM and NDF; trade sizes and algo styles.  This may be used as a guideline when setting the urgency parameter of an algo. Execution performances of algos also depend on market conditions, available liquidity, market volatility and the specific needs and constraints of the traders.

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.