Post-Trade Slippage Analysis is the quantitative assessment of the difference between an expected transaction price and the actual executed price after a cryptocurrency trade has completed. This analysis quantifies the cost incurred due to market movement or liquidity constraints during order fulfillment.
Mechanism
The analysis involves comparing the average price at which an order was filled against a designated benchmark, such as the market mid-price at the order’s initiation or the first fill price. Deviations are attributed to factors including market depth, order size, execution latency, and adverse price movements that occur as the order is being processed across various venues.
Methodology
Institutional trading desks utilize post-trade slippage analysis to evaluate the efficacy of their execution algorithms, assess the performance of liquidity providers, and refine their overall trading strategies. This critical feedback loop aids in minimizing future transaction costs, optimizing order placement tactics, and making informed decisions about venue selection for large-volume crypto orders.
Analytics quantifies RFQ information leakage by measuring adverse price movements correlated to the query, transforming trading data into a map of systemic risk.
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