A global agency broker executing over two million orders daily across equities, options, and ETFs, routing to 40+ execution venues across North America and Europe. The firm serves institutional buy-side clients who demand transparency on execution quality and routing performance.
The broker’s execution quality was declining, but the operations team could not pinpoint the root cause. Client complaints about fill quality were increasing, and best execution reports showed inconsistent results across venues. Legacy monitoring tools reported average latencies and error rates but provided no correlation between infrastructure behaviour and execution outcomes.
The broker deployed xMetrics to instrument the entire order flow path — from the market data feed, through the client FIX gateway, OMS, and SOR, out to the execution venues. Critically, this included the market data infrastructure upstream of the SOR.
Key capabilities deployed:
Within two weeks, xMetrics revealed that the declining execution quality was not caused by the SOR itself but by stale market data resulting from upstream feed microbursts. During high-throughput periods, periodic microbursts on the multicast market data feed delayed quote updates, causing the SOR to evaluate venue rankings against momentarily stale prices. This led to suboptimal routing decisions, higher reject rates, and worse fills.
Armed with precise data, the execution operations and technology
teams took targeted action, delivering the following improvements:
Successful regulatory audit completion, with xMetrics providing a complete audit trail of routing decisions and execution outcomes
Client retention secured through proactive, transparent outreach to the three most affected clients
Identifying that a planned market data upgrade would resolve the upstream feed latency, while a proposed network expansion was unnecessary, avoiding significant capital expenditure
| Metric | Improvement |
|---|---|
| SOR decision latency (P99) | 71% reduction |
| Slippage at market open | 50% reduction |
| Venue reject rate | 57% reduction |
| Mean time to investigate | 91% reduction |
| Clients at risk due to latency | 100% reduction |
By deploying xMetrics, the broker gained complete visibility across the entire order path, revealing that the root cause of poor execution quality was not the SOR itself, but stale market data being fed to it. With the true cause identified, the team took targeted action to fix the upstream market data infrastructure rather than unnecessarily replacing the SOR – delivering better fills for clients, faster investigations, reduced regulatory risk, and smarter technology investment decisions.
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