Blog

We’ve published a new trading research note “On the Limits of Markouts and Venue Curation” which highlights the challenges venues have in the use of markout to evaluate execution quality as they simply do not know the context or have enough information to truly measure the opportunity cost of not trading. We also demonstrate that markout is not just a characteristic of the venue or its order type logic, rather it is a characteristic of

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