Table 3 Negative Selection statistics and Fill/Cancel average time for BB
From: Negative selection—a new performance measure for automated order execution
Ticker: | VOD | AZN | BARC | SASY | |
|---|---|---|---|---|---|
bid/ask1 | Mean (NS) | 25.23 | 2.38 | 0.48 | 3.82 |
St. Dev. (NS) | 605.60 | 4.76 | 25.00 | 5.13 | |
Coeff. of variation (NS) | 24.00 | 2.00 | 52.48 | 1.34 | |
Median (NS) | 0.00 | 1.12 | 0.00 | 2.61 | |
Mean(\(T_{\mathrm{fill}}\)) | 4.37 | 3.86 | 4.33 | 3.36 | |
Mean(\(T_{\mathrm{cancel}}\)) | 9.03 | 9.20 | 9.59 | 7.57 | |
bid/ask2 | Mean (NS) | −450.57 | 0.49 | −14.14 | 1.33 |
St. Dev. (NS) | 428.19 | 4.21 | 22.90 | 4.36 | |
Coeff. of variation (NS) | −0.95 | 8.63 | −1.62 | 3.28 | |
Median (NS) | −428.27 | 0.00 | −14.40 | 0.00 | |
Mean(\(T_{\mathrm{fill}}\)) | 5.99 | 4.76 | 5.33 | 4.48 | |
Mean(\(T_{\mathrm{cancel}}\)) | 9.56 | 9.49 | 9.71 | 9.00 | |
bid/ask3 | Mean (NS) | −863.71 | −1.16 | −26.60 | −0.82 |
St. Dev. (NS) | 406.38 | 4.09 | 21.21 | 3.95 | |
Coeff. of variation (NS) | −0.47 | −3.52 | −0.80 | −4.78 | |
Median (NS) | −847.46 | −1.52 | −25.86 | −1.38 | |
Mean(\(T_{\mathrm{fill}}\)) | 5.62 | 5.36 | 5.62 | 5.17 | |
Mean(\(T_{\mathrm{cancel}}\)) | 9.56 | 9.54 | 9.65 | 9.37 | |