Yield Profiles - Filtering for Negative Spread
Filtering for trades that yielded negative spreads is useful for beginning to identifying problems in execution, pricing or toxic counterparties using trading strategies such as latency arb.
To filter for negative trades first view Yield Histograms - Filtering for Negative Trades and flick back to yield profiles
This will return all trades with a negative inception spread aggregated by the chosen grouping.
Trades or counterparties that are able to get the market right at inception are more likely to be extracting PnL from your book. In the above yield profile we can see the impact of EURUSD trades filled the wrong side of mid.
Instruments that are consistently seeing negative spreads can indicate weaknesses in the pricing, whether it be latency, too tight or crosses spreads from over aggregation. View Example Investigations - Identifying Inefficiencies in Pricing
Counterparties we are seeing fall offside consistently and quickly, usually between 0-500ms can indicate latency arbitrage trading (view Example Investigations - Identifying Accounts Using Latency Arbitrage Strategies). These counterparties may have access to multiple feeds or regions and are systematically picking off the slower rates.
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