Arrival Spread Midpoint represents the average price between the prevailing bid and ask quotes for a cryptocurrency asset at the precise moment an institutional order is initiated or received. This metric serves as a benchmark against which the execution quality and slippage of a trading algorithm or Request for Quote (RFQ) process can be assessed.
Mechanism
In crypto markets, especially within RFQ systems, the arrival spread midpoint is determined by capturing the best available bid and ask prices across integrated liquidity venues at the exact timestamp of order instruction. Automated trading systems calculate this value dynamically to compare against the eventual execution price, isolating the component of price deviation attributable to market conditions at arrival.
Methodology
Evaluating trading performance against the arrival spread midpoint involves calculating the difference between the actual transaction price and this benchmark, expressed as a fraction of the spread. This methodology provides an objective measure of implicit trading costs and execution efficiency, aiding in the selection and optimization of liquidity providers and algorithmic strategies for institutional crypto trades.
The chosen benchmark in RFQ TCA dictates the very definition of execution success, shaping both the analysis of past trades and the strategy for future ones.
We use cookies to personalize content and marketing, and to analyze our traffic. This helps us maintain the quality of our free resources. manage your preferences below.
Detailed Cookie Preferences
This helps support our free resources through personalized marketing efforts and promotions.
Analytics cookies help us understand how visitors interact with our website, improving user experience and website performance.
Personalization cookies enable us to customize the content and features of our site based on your interactions, offering a more tailored experience.
