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Raidne, an independent quantitative FX surveillance firm, has confirmed that its Siren FX benchmark is now trading. Results show that bigger participants in the forex market can save millions on average by making the switch at 4pm.

Raidne was founded in 2016 to offer independent quantitative FX surveillance to the sell-side and buy-side and is headquartered in London. Providing metrics which measure spread analysis, arrival price, implementational shortfall, market impact, information leakage and liquidity provider ranking, as well as more advanced analytics to detect benchmark manipulation, last look, front running and spoofing.

Trading of Siren commenced in January 2021, with an innovative European asset manager leading the way to bring significant FX price improvements to the whole of the buy-side. The Siren FX benchmark was approved and regulated under the FCA benchmark regime in September 2019 and is administered by the benchmark administrator New Change FX.

Siren is designed to reduce excess market impact over the fixing window leading to better prices overall.

Siren forex benchmark holds out possibility of considerable transaction savings

Raidne says it can run a study on historical fixing trades to determine how much a client could save by moving from the legacy 4pm fix to the Siren benchmark. Many studies performed so far have suggested clients could have reduced transaction costs and achieved more favourable fills on average by moving to Siren.

Dr Jamie Walton, Co-Founder of Raidne and former head of the currencies and rates quantitative trading team at Morgan Stanley explained: “With savings of on average over $500/million, this is well above the threshold for action with relation to Principle 9 of the Global FX Code. This principle states that asset managers should “regularly evaluate the execution they receive”.

The fair and transparent Siren FX benchmark is available every half an hour – from New Zealand market open on Monday, through to New York close on Friday.

Optimal execution algorithm

The construction of the benchmark snaps the world’s only FCA regulated and approved mid-rate in 70 currency pairs, each second, within its price construction and uses an optimal execution algorithm over a 20-minute window. This means asset owners avoid the negative effects that can occur when liquidity providers use Principle 10 within the global code that authorises pre-hedging.

Principle 10 encapsulates acceptable conduct around handling orders relating to the Fix and benchmark orders across the week, where acceptable conduct includes trading before the fixing window opens. In a vast number of cases this practice will work against the investor who will receive a worse price due to market impact. The Siren FX benchmark reduces this negative effect, leading to improved FX execution performance overall.

In addition to the current live trading of Siren, seven of the Euromoney Top 10 banks have said they will offer Siren based on customer request.

Please note this article does not constitute investment advice. Investors are encouraged to do their own research beforehand or consult a professional advisor.

Graeme Andrew

Graeme Coles-Andrew

Graeme is Head of Technology at the Armchair Trader. He has worked in online financial investment publishing since 2000 as a website developer, advertising operations manager, data scientist and all-round go-to guy for online technical solutions.

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