A great session today on FX Data! Thank you to all who joined and contributed to the discussions.
Some of the Initial key takeaways so far include-
– Through standardization, firms will be able to simplify communication from their OMS to their EMS to aid automation.
– It is about minimising the amount of ‘grey areas’ in your data collection and segmentation. That way you will build a standard model one step at a time.
– What is the definition of standardisation?
– There is also a deeper need to standardize the context of the trade and what the desired outcome is. That way, it can be effectively measured. It’s about identifying the end point of that data goal and that will indirectly create a form of standardisation
– Firms are now looking at data beyond TCA metrics into market impact, hit rates and quality of liquidity to create a better picture for analysis.
– Samples should not be based on one trade, you need a large amount of data to create a good picture of liquidity and hit ratios.
– Having the right data is vital when looking to build panels and constantly feeding back on their pricing and performance. Although, this is not the only factor to consider when building a panel as you can not completely forecast how a bank will perform in the future.
– By tracking and analysing hit rates, you can have meaningful conversations with your banks and providers.
– Firms promise their trades are 100% internalised- this is rarely the case and if your trades are taking a while to complete, or you can see there is market impact whenever you trade with a particular sell side, you should hold them accountable.
– Using data in monthly or quarterly meetings with banks can help build relationships and hold providers accountable to their historical performance.
– When completing a risk transfer, it is important to see if there has been indirect market impact from your counterpart to continuously review.