Commentary

Elaine Wah

Modern Markets, Modern Metrics - A Blog By IEX

In this blog by IEX's Elaine Wah, the newest public exchange looks to refute public claims that the metrics it uses are designed to inflate its own volume numbers and mislead people.

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In his first public speech, SEC Chair Jay Clayton deviated from his prepared remarks and offered his own "off the cuff" comments on market issues. Do you like this change of pace?




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April 1, 1998

At Dedline - Transaction Audits

By John A. Byrne

Measuring trade execution quality is not new. But an upstart company based in Northpost, N.Y., is pulling out the stops to nab business, measuring trade execution quality for orders of 5,000 shares and more.

The Transaction Auditing Group (TAG) started the service last month, offering to measure the trade execution price against the midpoint between the bid and asked price. This measure, commonly referred to as liquidity premium, is a topic of popular discussion in academia.

"Liquidity premium is a very intuitive measure of trade execution," said Charles M.C. Lee, an accountant and finance professor at Cornell University. "This measure provides another dimension by which to analyze and measure trade execution quality."

TAG's audits evaluate trade execution against a number of measures, including price improvement, order fill, liquidity and timeliness. TAG has established an industry advisory board dedicated to fostering a dialogue on issues that affect best execution.