Depth Aware Enhanced E/Q
[/et_pb_text][/et_pb_column][/et_pb_row][/et_pb_section][et_pb_section fb_built=”1″ custom_padding_last_edited=”on|desktop” disabled_on=”on|off|off” _builder_version=”3.0.100″ background_color=”#6cc049″ custom_padding=”5px||18px|” custom_padding_tablet=”50px|0|50px|0″ transparent_background=”off” padding_mobile=”off”][et_pb_row custom_padding=”0px||0px|” padding_mobile=”off” column_padding_mobile=”on” parallax_method_1=”off” _builder_version=”3.0.47″ background_size=”initial” background_position=”top_left” background_repeat=”repeat”][et_pb_column type=”4_4″ _builder_version=”3.0.47″][et_pb_text admin_label=”Green Bar” module_class=”bluebar” _builder_version=”3.0.87″ text_font_size=”24″ background_layout=”dark” module_alignment=”left” custom_margin=”4px||4px|” use_border_color=”off” border_color=”#ffffff” border_style=”solid”][/et_pb_text][/et_pb_column][/et_pb_row][/et_pb_section][et_pb_section fb_built=”1″ custom_padding_last_edited=”on|desktop” _builder_version=”3.0.74″ background_color=”#ffffff” custom_padding=”8px||8px|” custom_padding_tablet=”50px|0|50px|0″ transparent_background=”off” padding_mobile=”off”][et_pb_row custom_padding=”30px||30px|” padding_mobile=”off” column_padding_mobile=”on” parallax_method_1=”off” parallax_method_2=”off” _builder_version=”3.0.47″ background_size=”initial” background_position=”top_left” background_repeat=”repeat”][et_pb_column type=”2_3″ _builder_version=”3.0.47″][et_pb_text admin_label=”Copy in left column” _builder_version=”3.21″ link_text_align=”left” ul_text_align=”left” ol_text_align=”left” quote_text_align=”left” header_text_align=”left” header_2_text_align=”left” header_3_text_align=”left” header_4_text_align=”left” header_5_text_align=”left” header_6_text_align=”left” module_alignment=”left”]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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