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Algorithmic Trading news articles - Study of NYFIX Millennium Trade Executions Shows Significant Reduction in Market Impact Across Market Sectors and Trading Strategies

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June 25 2008 - NYFIX, Inc.has announced that research conducted by Quantitative Services Group LLC has confirmed that executions through its alternative trading system, NYFIX Millennium exhibit lower cumulative price impact compared to a broad universe of trade execution venues. Specifically, QSGs research revealed that Millennium reduced market impact costs across a number of market sectors ranging from large-cap to micro-cap stocks. Further, the study showed that stocks characterized by earnings or price momentum, which are typically more difficult to trade on traditional exchanges, saw significantly lower relative cumulative impacts costs when executed through NYFIX Millennium.

Study of NYFIX Millennium Trade Executions Shows Significant Reduction in Market Impact Across Market Sectors and Trading Strategies

Dark pools such as NYFIX Millennium are designed to achieve better executions than those available on traditional exchanges by minimizing information leakage. The QSG research confirms that NYFIX Millennium reduces market impact as compared to other available trading venues, thereby enabling NYFIX clients to optimize their trading strategies and realize best execution.

NYFIX Millennium versus QSG Transaction Universe

Market Category

Percentage Decrease in Market Impact

Basis Point Per Share Savings

Micro-cap

66%

21.53

Small-cap

63%

13.43

Mid-cap

59%

8.08

Large-cap

62%

5.18

Weighted Average

62%

6.61

Earnings Momentum/Price Momentum

60%

6.77

C. Thomas Richardson, Advisor and incoming Global Head of Transactions Services at NYFIX, commenting on the research, said: "Reducing information leakage, and in turn, market impact, is one of our clients’ key goals. The QSG research demonstrates that NYFIX Millennium helps our clients achieve this goal by reducing trade execution costs while providing a tremendous amount of liquidity across a broad range of NYSE and NASDAQ stocks.“

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