To limit or not to limit? A discussion around using price limits with execution algorithms

In our paper “Do Limits Improve Algo Performance?”, we explored how setting a limit affects execution performance and whether it was possible to optimize limit placement. The focus of the paper was on algo trades executed in less than 24 hours and for G10 currency pairs, which avoided data issues without sacrificing significant statistical power. The bulk of the research concentrated on algos with only one limit, where limit placement is a more straightforward matter than dynamic limit optimisation. BestX® In our paper “Do Limits Improve Algo Performance?”, we explored how setting a limit affects execution performance and whether it was possible to optimize limit placement. The focus of the paper was on algo trades executed in less than 24 hours and for G10 currency pairs, which avoided data issues without sacrificing significant statistical power. The bulk of the research concentrated on algos with only one limit, where limit placement is a more straightforward matter than dynamic limit optimisation. BestX®

In our paper “Do Limits Improve Algo Performance?”, we explored how setting a limit affects execution performance and whether it was possible to optimize limit placement. The focus of the paper was on algo trades executed in less than 24 hours and for G10 currency pairs, which avoided data issues without sacrificing significant statistical power. The bulk of the research concentrated on algos with only one limit, where limit placement is a more straightforward matter than dynamic limit optimisation. BestX®