Austin, TX April 20, 2021 – S3, the leading provider of regulatory compliance and trade analytics software, today announced the launch of their new Depth Aware Enhanced E/Q tool that provides a more precise representation of execution quality.
“We’ve heard from a lot of our clients that the current method of calculating E/Q and price improvement doesn’t really tell the whole story,” says Mark Davies, CEO of S3. “Our new Depth Aware tool considers order size to provide a more complete picture of available liquidity at the time of order placement.”
Instead of using only the NBBO, the Depth Aware tool uses a volume-weighted BBO that looks at the full volume available at the top of book at each exchange, up to the size of the order. The enhanced E/Q is calculated using a new volume-weighted midpoint that is based on the volume-weighted BBO. True price improvement is revealed by comparing the execution price to that volume-weighted BBO.
“This new methodology is not meant to replace the current process, but to help our clients gain a more precise picture of what’s happening in the market,” Davies continued. “S3’s ultimate goal is to leverage our client partnerships, listen to feedback, and create innovative tools that help our clients become more efficient so they can focus on trading.”
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S3 is a full-service compliance and trade analytics software company that services many of the world’s largest financial institutions and exchanges. S3’s extensive suite of products offers best-in-class solutions for international regulatory reporting, trade surveillance, CAT, TCA, and best execution analytics across multiple asset classes.