Markout Performance is a post-trade analytical metric that evaluates the profitability or loss of a specific trade by comparing its execution price to subsequent market prices over a defined time horizon. In crypto, it assesses the immediate market impact and potential adverse selection experienced by a trading algorithm or institutional execution.
Mechanism
It is calculated by comparing the fill price of an order against the average or median market price observed at specific intervals, such as 10 seconds, 1 minute, or 5 minutes, following the trade’s completion. A negative markout indicates that the market moved against the executed price, suggesting potential information leakage or unfavorable market timing.
Methodology
Firms utilize markout analysis to refine execution algorithms, optimize order placement strategies, and evaluate broker or venue performance, particularly within RFQ and institutional crypto trading. This data informs improvements in liquidity seeking, price prediction models, and the management of trade-related information leakage across various digital asset exchanges.
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.
