TY - JOUR T1 - Grading Algorithms JF - Trading SP - 35 LP - 39 VL - 2007 IS - 1 AU - John Wightkin Y1 - 2007/03/20 UR - http://guides.pm-research.com/content/2007/1/35.abstract N2 - 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. ER -