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QOTW (Nov 1st 2016): How does PM Instruction Influence Trading Cost?

How does PM Instruction Influence Trading Cost?

 

Chart 1: Value Traded by PM Instruction from ITG’s Peer Group Universe

 

Chart 2: Cost by PM Instruction from ITG’s Peer Group Universe

Chart 3: Commission Cost by PM Instruction from ITG’s Peer Group Universe

  • Characterizing different order types is important in order to better classify desk-level peer data. One key attribute identified as relevant for accurate comparisons was PM instructions. Separating limit orders, from market orders, from MOC orders should result in an improved peer cost comparison.
  • Implementation shortfall and commission costs show a clear difference across PM instruction category. Market orders have the highest IS cost while, as expected, MOC orders are the cheapest to trade from a commission perspective.

 

PM Instruction data was pulled for a select group of 18 clients from ITG’s Peer Group Universe. Implementation shortfall costs are measured relative to the release to the desk. Null records are those that had no PM Instruction tag..

 

Refer to ITG Peer Analytics for information on available Peer Related Analytics.

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