Transaction Cost Analysis is a well-established part of the trading process. But with a growing number of buy-sides relying on algo wheels to ensure they are getting the best out of their brokers we decided to look at the common pitfalls with performance monitoring and ways to improve the measurement and evaluation of algos. Redburn has been measuring both its own, and external brokers for many years. We have also spoken to a wider range of buy-side firms, some using an algo wheel with great success, others just starting out. Here we share our experience of the common mistakes and provide a guide for those who are just beginning.
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