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IRESS commands compare traded prices against bid or offer prices on other markets to detect potential trade-throughs. Trade-throughs are potential instances where best execution has not been achieved. A trade-through occurs when a trade by-passes a better priced order which is displayed in another market.
Trade-Through Analysis
Providing an independent view of potential trade-through occurrences, the IRESS Trade-Through Analysis command uses market data feeds from all exchanges.
This command is independent of your trading system - you do not need to be an IRESS IOS+ client to take advantage of this service.
The report applies tolerances to the quote and trade data to allow for timing issues inherent in any multi-market environment. Results are totalled by Broker and Trade Data source, and show the percentage of best execution occurring inside the Best Bid and Offer (NBBO).
IOS+ Trade-Through Analysis
Available for IRESS clients who trade using IOS+, the IOS+ Trade-Through Analysis command uses the same tolerance logic to allow for multi-market timing issues.
Reports can be run for groups of accounts or destinations, and allow filtering of various client and order information including pricing instructions and order value.
Note: This command is not yet available.
Full accountability
The IRESS Market Replay and IOS+ Audit Trail commands allow for step-by-step analysis of trading scenarios, to assist you to demonstrate that orders comply with your best execution policy.
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