Chart 1: Average T+1 Second Reversion by Urgency Setting
Chart 2: Average T+1 Second Reversion by Urgency Setting in Varying Volatility Regimes
The analysis was limited to orders executed using opportunistic algorithms for Large Cap US stocks between 1/1/2015 and 12/31/2015 with order sizes under 0.25% MDV. Reversion was measured by comparing the mid at execution time to the mid one second after; fills with T+1 second reversion greater than 10 basis points were excluded. A subset of clients, all of whom trade with multiple brokers, were included. A subset of algorithms were included based on the ability to categorize urgency parameters.
Refer to ITG Peer Analytics for information on available ITG Peer Group Database based analytics.