Blog

We’ve just posted a new research paper about measuring execution quality, available at pragmatrading.com/research.

Even as algo wheels are used by more traders, the challenges of accurately identifying the better performing algorithm remain. With limited data available to most traders, it is often impossible to differentiate between random noise and actual, better or worse performance. A series of simulated experiments conducted by Pragma’s research team show that even months of trading data are often insufficient for

We’ve just posted an update in our series tracking trading patterns around the 4pm London WM/Reuters Fix, available at pragmatrading.com/research.

The simple momentum pattern as we summarized it last summer has essentially disappeared on normal days, but the overall pattern of trading around the Fix has remained consistent. Deriving benefit from the pattern has become more challenging and less rewarding, and the details of the pattern will no doubt continue to evolve as market participants change

High Touch Desks Get Best-Ex Due Diligence
The buy side is closing a major gap in its best-execution due diligence: The order routing practices of high-touch trading desks are falling under intense scrutiny previously reserved for self-directed trading tools. This increased attention presents a major challenge for brokers who use a variety of low-cost algorithms from multiple providers, since they have limited knowledge of how those algorithms route orders, let alone control over their behavior. Fortunately,