Data That Works For You

Algo trading is empowered by data and market nuances. When considering your benchmarks and execution strategies, you must take into account market variables such as bid-ask spreads, quote, volatility, and liquidity as these microstructure variables provide valuable insight for the state of the market during a period of time.

Each month, we aggregate microstructure variables at daily and monthly levels and compare the same against historical (1-month, 1-year, and 3-years). Any drastic changes in microstructure variables will manifest in execution slippage. The reports aid in slippage attribution and facilitate the attribution of execution cost and determination of market regimes.

Metrics available for:

  • Fixed Income

  • Equities

  • VIX

  • Energies

  • Others upon request

 

Receive the Latest Market Microstructure Report

QB’s proprietary microstructure report captures and summarizes the state of the market, whether the market is in a preferable condition, neutral or bad.

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