PT  - JOURNAL ARTICLE
AU  - John Wightkin
TI  - Grading Algorithms
DP  - 2007 Mar 20
TA  - Trading
PG  - 35--39
VI  - 2007
IP  - 1
4099  - http://guides.pm-research.com/content/2007/1/35.short
4100  - http://guides.pm-research.com/content/2007/1/35.full
AB  - Algorithmic trading has seen astounding growth in the last few years. The abrupt growth has resulted in a failure of measurement tools to evaluate the performance. A move from the standard benchmark performance report into an in-depth investigative measurement technique is imminent. A proper measurement system involves three focal points: proper classification of similar algorithms, an accurate cost attribution system and a quantifiable execution quality analysis. Proper classification allows for comparison between multiple algorithms with similar intent. Accurate cost attribution is crucial in determining the impact of the algorithm's executions. A quantifiable execution analysis gives color into the propensities of the algorithm and logic on which it is built.