Yield Profiles - Group By Cancel Reason
When analysing cancelled trades, yield profiles can be grouped by the cancel reason.
This details the decision making around why an order was cancelled, by reagreggating trades in this way we are able to identify if there is a specific reason causing the highest volume of cancels, whether this is justifiable and if the parameters need reviewing.
InternalisationDisabled => execution style is set to broker but cannot be brokered, usually due to a rejection from the external LP
Liquidity throttled => liquidity reduction in play has stepped the published price up or down moving the price too far from TOB according to the price check threshold (If we would have filled without LR, then LR caused the reject)
Off market => On the first attempt the fill, order is immediately off market (failed the price check)
Last look => At the end of the LL period, on the second attempt to fill, if an order is off market (has failed the price check)
Mid distance check failed => requested order price has crossed the defined minimum threshold by the end of the LL period.
Internalisation quantity greater than published => requested trade volume is higher than liquidity currently available to fill
NoLiquidity => no liquidity available to fill the trade
Indicative => pricing is indicative so no firm quantity to fill
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