– Issues arise when you are intervening in trades- as you can then alter the standardisation of the data sets to help demonstrate best execution.
– There are 4 types of algo in the FX space that can be categorised- TWAP, VWAP, implementation shortfall and passive algos. Difficult when looking at comparisons to historical workflows.
– You need big data sets to come to any conclusion of whether an algo is better than another.
– Banks need to clearly differentiate between algos and their execution paths. That way you can have greater knowledge of what you are getting buy-in for.