Smart Execution with Quote Depletion Protection

Improved Executions Using QDP on Cboe’s EDGX™ Equities Exchange

There was an immediate uptick in fill and hit rates on EDGX following the change. As the chart below details, originally, EDGX orders with QDP instructions realized a fill rate of about 1.52%. Fill rates have more than doubled to about 4.54% since QDP was enhanced in January. Additionally, the post-trade one second markout improved from 13.83% of the spread to 9.57%, indicating a nearly 30% improvement.

Figure 1 EDGX Performance Stats for QDP1
Figure 2 Post-order completion markout2
Figure 3 EDGX QDP Signal Efficacy

Improved Executions Using QDP on Cboe’s EDGA™ Equities Exchange

The hit rates and markouts on EDGA also improved following the QDP enhancements. Though fill rates declined slightly from 4.40% to 4.00%, markouts improved 15%, from 13.43% to 11.39%. Additionally, the efficacy of the signal led to a significant increase in correct predictions since the enhancements went into production.

Figure 4 EDGA Performance Stats for QDP3
Figure 5 EDGA Order Markout
Figure 6 EDGA QDP Signal Accuracy

--

--

Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
Cboe Global Markets

Cboe Global Markets

We’re #DefiningMarkets to benefit all participants through product innovation, leading edge technology and seamless trading solutions.