STOCK UPDATES FROM 07/21/2017 12:42 TO 07/21/2017 16:38

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STOCK XXX ANALYSIS on EXECUTED OPERATIONS

Slipage vs trading process delays

(COMPLETED operations)

Trading Time: time elapsed (ms) between orders are sent and execution is finished.
ATP Decision Time: time elapsed (ms) between last update is received and orders are sent.

Slipage premium is defined as effective - implied

Slipage vs delay since AGG update

(COMPLETED operations)

Shows elapsed time since receiving the AGG update until the corresponding deal is executed.

Left chart: CME update is received FIRST.
Right chart: AGG update is received FIRST.

Effective and slipage premiums vs market updates

(COMPLETED operations)

Shows time delta between reception of AGG and CME market updates.

Bottom chart shows effective vs slipage updates

implied EFP per operation type

Shows the relation between the time delta between market updates and the implied EFP.

This can be computed BEFORE any deal is made

rev_tdelta = time CME update received - time AGG update received