Quality Execution Analysis

A thought-leadership paper on the next phase of transaction cost analysis

FX Best Execution: QEA Drivers in the Pursuit of Alpha

Executive Summary

Best execution in foreign exchange (FX) encompasses a number of steps taken at various times: pre-trade, at-trade, and post trade. To achieve best execution systematically, sophisticated buy-side and corporate users generate a set of best execution policies and deploy tools that help achieve that end, while measuring policy compliance and alpha generation. 

Commissioned by Forex Datasource, this thought leadership paper informs buy-side clients (defined as real money asset owners and their investment managers, hedge funds, and prop trading desks) and corporate treasuries on how to navigate novel datasets that, when used judiciously can enhance best execution performance and FX trading alpha generation. 

The report explores quality execution analysis (QEA), an increasingly popular terminology for both pre-trade and at-trade area of study and a subset of the more comprehensive transaction cost analysis (TCA) trend. This report analyses two QEA drivers in particular, spot FX average trade size and intraday liquidity by currency pair.

Sample questions answered in this study include: 

  • What are the growth drivers of the QEA trend? 
  • What’s the scope of QEA within the best execution decisioning spectrum?
  • How can algo trade performance improve with a more granular view of average trade size?