Internal vs. External: An optimum trading framework based on BestX Total Cost

We introduced the Algo Center of Mass (CoM) concept in our previous paper. In this paper we now use CoM as an effective tool to derive optimum trading based on 'BestX Total Cost’ framework (see section 2 for more information). Price signature, or information leakage, is different between venues; therefore, there is a need to establish a framework to balance the trade-off between capturing spread and information leakage. In the first section, we present different price signatures across various platforms and then derive optimum trading based on the BestX Total Cost framework. In the last section, we review the statistics of algos widely used by investors.

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