The Performance Tracker is a way for clients to measure their contribution on the platform and see where they rank relative to other traders on the platform.
How is Contribution Measured?
For each client and Contract Type, we compute a Market Contribution Index (MCI) based on two key measures:
- Liquidity Share (every user has a value between 0 and 1.0)
- Volume Share (every user has a value between 0 and 0.5)
Hint: You can see your Liquidity Share and Volume Share in real time on the performance tracker tab.
Liquidity Share Formula
Your liquidity share is calculated for each Contract Type based on your trading activity in each maturity of that Contract Type:
Weighted Order Size = OrderSize * 40 * 2 ^ ( 1 - ( abs( ( (OrderPrice – MidPrice ) / MidPrice ) * 10000 ) / 20 ) )
This formula rewards orders posted close to the mid price exponentially more than those further away.
Your Weighted Orderbook Presence = Sum of all your active Weighted Order Sizes for a given orderbook.
Total Weighted Orderbook Presence = Sum of Weighted Orderbook Presence across all clients for a given instrument at a given point in time.
Your Weighted Orderbook Share = (Your Weighted Orderbook Presence / Total Weighted Orderbook Presence)
This figure is computed every minute at a randomised second and averaged across all minutes of a given week:
Your Liquidity Share = (Sum of all your Weighted Orderbook Shares during the week) / 10,080
Once your liquidity share for a given maturity is computed, the liquidity share for the Contract Type is weighted by proportion of volume generated over the period.
Note: This means that the Liquidity Share across all clients sums to 1.0 for any given Contract Type.
Volume Share Formula
Your Volume Share represents your share in the total trading volume across all of the maturities of a Contract Type:
Your Volume Share = your trading volume during the week / total trading volume during the week / 2
Note: This means that the Volume Share across all clients sums to 1.0 for any given Contract Type.
Market Contribution Index Formula
Your Market Contribution Index (MCI) is calculated as a weighted average of your Liquidity Share and your Volume Share. Weightings are as follows:
Volume Share Weighting |
75% |
Liquidity Share Weighting |
25% |
Therefore:
Your MCI = 75% * your Volume Share + 25% * your Liquidity Share
Note: This means that the MCI across all clients sums to 1.0 for any given Contract Type.