Key Trends in Using FIX for Execution Transparency
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User Rank: Author
12/10/2014 | 9:27:47 AM
Re: The Ping Pong Ball and Information Leakage
Ivy, that's a good question. I think it depends on the type of buyside we're talking about. Hedge funds that invest a lot of money in their order execution infrastructure have been measuring this because they take the info from the feeds. But they're probably sending orders that are tagged as intermarket sweeps or some other tag to prevent the exchanges from passing the order to another exchange if they don't have the NBBO.

The buysides who are sending orders to the sellside to be worked have much less visibility, but they also often lack the technical infrastructure to consume the data and analyze it. I'm sure there are some who are doing it, but not many. The members of the Buyside Working Group at the FIX Trading Community are leading this charge. It would be interesting to survey them. 
User Rank: Author
12/10/2014 | 8:20:00 AM
The Ping Pong Ball and Information Leakage
Candyce, this is a very interesting post. The ping pong ball analogy provides a good visual for the problem of orders bouncing from one equity venue another as the order seeks the best price or NBBO. So the question is, is it better to take a worse price (pay a bit more in trading costs)  to avoid information leakage, or should the buy side expose their orders to multiple venues? In order to make that decision, the buy side needs to measure those costs. Are you seeing many buy side use the FIX tags mentioned to analyze the cost of venue hopping?

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