
Price limits in FX algos: fill your boots
Do limits affect performance? Double machine learning helps answer the question, says BestX quant

Foreign exchange execution algorithms often contain price limits, but there is a common concern in the market that setting the thresholds too close to the mid-price will hamstring the algo and hurt its performance. Two experiments we have run show traders need not worry.
We started by analysing algo trades in our large database. Trades with price limits displayed bigger risk transfer outperformance and smaller underperformance compared with trades with no price limits.
The difference in median
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact customer services - www.fx-markets.com/static/contact-us, or view our subscription options here: https://subscriptions.fx-markets.com/subscribe
You are currently unable to print this content. Please contact customer services - www.fx-markets.com/static/contact-us to find out more.
You are currently unable to copy this content. Please contact info@fx-markets.com to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@fx-markets.com
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@fx-markets.com
More on Tech and data
Adoption of standard FX reject code too slow – Schroders trader
Standardised codes aim to improve consistency and transparency around why trades are rejected
Mastering the millisecond market
Leveraging millisecond-level data could unlock FX trading opportunities, says LMAX Group’s Sundaram
Citi rolls out revamped SDP in emerging markets
Unified API will boost electronic pricing and automation for restricted currencies, says bank
For AI’s magic hammer, every problem becomes a nail
Risk.net survey finds banks embracing a twin-track approach to AI in the front office: productivity tools today; transformation tomorrow
FX automation key to post-T+1 success, say custodians
Custody banks saw uptick in demand for automated FX execution to tackle T+1 challenges
Is AI a double-edged sword?
How can firms address – and safeguard themselves from – potential execution algorithm risks, asks SGX’s Trivedi
Buy-siders call for FX options workflow overhaul
FX Markets Europe: Traders say electronification of FX options is still lagging
OMS wars: a new hope for the future
While Jedi powers may be needed to unpick the complexities of some order management workflows, but the dark side of these systems can be defeated by new enhanced solutions