CME Adds Historical Execution Stats to DataMine
CME Group has begun making historical execution-related statistics available for equity index futures via its DataMine historical data product, to provide traders and those running automated trading strategies with the ability to optimize execution strategies based on analysis of execution performance on the exchange.
The Equity Execution Statistics -- such as average rate of execution, fill percentage, market depth and width, slippage versus the top and mid-market price, and order quantity --
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