Yield Histograms - Filtering for Negative Trades

Filtering for negative trades is useful for identifying trades or counterparties that are consistently being filled the wrong side of mid, this can help identify problems in execution.

A histogram population to the left of zero is representative of trades that are offside at the selected time horizon.

If the histogram has a significant population to the left of revaluation during a smaller time horizon (such as 0ms, 100ms and 500ms), it can imply toxic behaviour in counterparties such as latency arbitrage or dealing not full; or inefficiencies in the pricing of specific instruments.

Switch the yield profile chart to histogram and select the time horizon (check out the histogram navigation page here)

By clicking the positive green bar you are given the below options:

Select 'Strictly lower than this bar (pnl < 0)' and reload the query.

This will return all trades that are negatively yielding at the chosen time horizon, this is particularly useful for:

• Finding toxic clients such as latency arbitragers, scalpers or dealing not full
• Diagnosing the source of toxic flow from known toxic accounts
• Identifying inefficiencies in pricing