Execution Analytics - Referential Labs

Your strategy looks profitable in backtests. But execution costs are eating into your returns. How much? Most firms don't know—until they measure.

The Problem

Execution quality is the hidden cost of trading. A strategy with 5% theoretical returns can easily become breakeven after accounting for:

Slippage: The market moves between when you decide to trade and when you execute
Market impact: Your own orders move the price against you
Latency: Slow order routing means stale prices and missed opportunities
Partial fills: Only getting part of your intended position
Venue selection: Some venues offer better prices, liquidity, or speed

Our Approach

Systematic measurement of execution quality. See where costs concentrate—then decide what's worth optimizing.

Slippage Analysis

Track slippage by strategy, asset, venue, time of day, and order size. Identify patterns and outliers.

Latency Monitoring

Measure order-to-ack, ack-to-fill, and end-to-end latency. Alert on latency spikes and degradation.

Fill Rate Tracking

Monitor fill rates, partial fills, and rejections. Understand why orders aren't completing.

Venue Analytics

Compare execution quality across venues. Optimize routing decisions based on historical performance.

From Measurement to Improvement

Seeing execution data is the start, not the end. The platform surfaces patterns; your team decides what to do about them:

Identify which strategies have the worst execution drag
Investigate whether high slippage is fixable or inherent to the strategy
Test venue routing changes and measure the impact
Detect when execution quality degrades—then diagnose why
Quantify the ROI of execution improvements before committing resources

Execution optimization is iterative. You measure, change something, measure again. The platform accelerates the iteration cycle; it doesn't replace the judgment calls.

Integration

We integrate with your existing execution infrastructure:

FIX protocol (4.2, 4.4, 5.0)
REST and WebSocket APIs
File-based imports (CSV, JSON, Parquet)
Direct broker integrations (Interactive Brokers, Alpaca, etc.)

Get Started

See what execution is really costing you. We'll help you connect your order flow and establish baseline metrics—then work with you to interpret what the data reveals.

Frequently Asked Questions

What execution metrics do you track?

We track slippage, fill rates, partial fills, latency, market impact estimates, venue performance, and cost attribution by strategy, asset, and time of day. Which metrics matter most depends on your strategies—we help you focus on what's actionable.

Can you integrate with my existing execution system?

Yes. We support FIX protocol, REST/WebSocket APIs, and file-based integrations. We can ingest order and fill data from most brokers and execution management systems.

Is this real-time or batch analysis?

Both. Real-time dashboards show execution quality as orders fill. Batch analysis provides deeper statistical analysis, trend detection, and historical comparisons. Most insights come from analyzing patterns over time, not individual fills.

How do you calculate slippage?

We calculate slippage against benchmarks you choose: decision price, arrival price, VWAP, or implementation shortfall. The right benchmark depends on your strategy and what you're trying to measure. We help you select appropriate benchmarks and interpret the results.