Execution Algorithms
In this article, we analyze TAS liquidity across 29 TAS-eligible contracts and show how TASClose eliminates the operational complexity of coordinating TAS and settlement window execution.
In this article, we examine how trading costs vary throughout the day, independent of volume, revealing a persistent Time of Day Effect.
One year in, IS Zero is rewriting the playbook for low-urgency trading as it delivers on its promise–consistently beating VWAP’s implementation shortfall (IS) performance for low-urgency orders.
Hitesh Mittal shares his perspective on Single Dealer Platforms (SDPs) and key questions to ask when considering whether to include them in an optimal routing strategy
Hitesh Mittal shares an update on BestEx Research’s most successful year yet, highlighting key achievements, product innovations, and the firm’s vision for 2025.
In this article, we've highlighted the impact of holiday period on the volume and volatility of Futures market
In this article, we've highlighted some key historical observations on the effects of the past 20 years of presidential elections on futures market liquidity (on election day and the following day).
In this article, we conduct an empirical analysis comparing the standard deviation of returns method to Parkinson's volatility calculation.
Now available for both futures and equities from BestEx Research
This summary by our Founder & CEO, Hitesh Mittal, explains the SEC's changes to U.S equity market structure regulations announced on September 18, 2024.
In this blog post, we'll delve into what order stitching is and why it’s important, as well as the nuances associated with the calculation of analytics and how we handle them in our own TCA.
IS ZERO, a meticulously engineered, low-urgency IS algorithm that combines the desirable features of VWAP with improvements to effectively minimize implementation shortfall.
As we mark the end of a remarkable year and begin 2024, we’re reinforcing our commitment to excellence with a phrase that embodies our longstanding dedication: "We care how you fill."
In this post, we propose an empirical approach using trade and quote data to determine appropriate participation rates based on what is commonly encountered in the market.
In this blog post, we present an empirical approach to refining participation rate constraints for portfolio construction and trading for various futures contracts.
In this article, we're detailing the motivation and the features behind the launch of our new Adaptive Optimal (IS) Framework for designing and optimizing implementation shortfall execution algorithms.
Here we share the comment letter that we've submitted to the SEC on the proposed Order Competition Rule. In it, we express our support of the rule and detail suggestions for changes so the rule's implementation has its intended impact.
The SEC's proposed Order Competition Rule aims to increase competition in the market for retail investor orders. In this paper, we provide a summary of the proposed changes, discuss how “competitiveness” can be measured, and analyze the potential impact of the rule on institutional investors.
Some execution algorithm providers approach the design of futures algorithms by starting with an equity algo base and editing the details to tailor to the specificities of trading futures. While this approach may create a fair foundation, it leads to unnecessarily high trading costs. In this paper, we introduce the biggest challenges associated with futures execution and how they can impact execution costs.
A message of thanks to our clients and partners for their support and their votes, awarding us Best Algorithmic Trading Provider in the 2022 Waters Rankings.
Single dealer platforms (SDPs) are alternative sources of liquidity for US equity execution algorithms, and the negative consequences of using them are not well understood. In this paper, we dispel some of the common marketing misconceptions we most often hear about trading with SDPs.
In this short post, CEO Hitesh Mittal shares why change is difficult in the existing market structure where payment for order flow is so common.
In this short post, CEO Hitesh Mittal presents the opposing viewpoints in the debate around payment for order flow and refutes some of the commentary in opposition to our recent research paper on this topic.
In March 2020, the SEC proposed groundbreaking changes that would affect RegNMS, including the content of consolidated market data. In this article, we review the final ruling and its projected impact on institutional investors.
Here, we share the comment letter we have submitted to the SEC regarding their 595-page proposal for modifications to RegNMS and the SIP feed.
Earlier this year, the SEC released a 595-page proposal centered on modifications to RegNMS and improving the SIP. We believe the proposed changes will help all investors, and we have submitted a comment letter to the SEC with a few thoughts that we summarize in this article.
CBOE Global Markets, owner of BATS Exchange, recently received approval from the SEC for a preMOC mechanism called CMC (CBOE Market Close). The CMC will launch on March 6, 2020, and it represents a significant change to US equity market structure. In this article, we describe the proposed order type and its potential impacts on institutional investors.
Timely commentary and analysis on markets, execution, and regulation, from the team at BestEx Research.
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