Depth Aware Enhanced E/Q

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Depth Aware Enhanced E/Q

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S3’s Depth Aware Enhanced E/Q tool provides a more accurate representation of execution quality using more precise calculations of both the Effective/Quoted spread and price improvement.  Instead of using the NBBO to determine price improvement or execution quality, our Depth Aware Enhanced E/Q tool looks at the full volume available at the top of book at each exchange and creates a “volume-weighted bid or offer (BBO)” that considers the order size at each price level.  The Depth Aware Enhanced Effective/Quoted spread (E/Q) is calculated using a “new volume-weighted midpoint” that is based on the volume-weighted BBO.  The volume-weighted BBO takes into account all available top of book liquidity, up to the size of the order.  The true price improvement compares the execution price to that volume-weighted BBO.  The result is an E/Q that more closely reflects the true execution quality — rather than a comparison to a quoted spread that doesn’t move with the market — and a clearer representation of price improvement.

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