BestX Foreign Exchange Execution Analytics

BestX: Using Julia to Identify Best Execution for Foreign Exchange Trading

Every day, $5 trillion changes hands in global foreign exchange markets.

How do traders know whether they are getting the best deal?

They turn to BestX.

BestX is a software company that provides independent trade technology and analytics to define, achieve and demonstrate the best execution of a foreign exchange trade.

And how does BestX do this?

That is where Julia comes in.

BestX uses Julia to power their Post-Trade Transaction Cost Analysis (TCA) tool which allows traders to analyze the cost and execution performance of their foreign exchange transactions. It provides a unique set of analytics measuring all aspects of trade execution performance including spread, impact costs and signaling risk.

Why Julia?

According to CTO Aman Thind:

  • “We wanted to make sure we didn’t commit the mistake of the dual language problem … where most analytics are written twice – once for prototyping, and then again for running in production”

  • “We have a very small team so we need to be as efficient as possible”

  • “We chose Julia which gives us the expressiveness and development speed of Python and the performance of C with a language and type system that aids and does not impede productivity”

  • “BestX is an innovative, cutting-edge technology-led analytics firm, so using the very latest advancements in numerical computing through Julia is a material attraction to us”

  • “We can run almost all our analytics in less than 5ms per trade which is pretty impressive”

  • “Writing this in C would’ve taken us much longer and trying to get similar performance through Python would have required special considerations”

  • “Our initial implementation in pure Python quickly ran into performance problems that required optimisations in Cython”

  • “Performance in Julia was on par with the Cython-optimized Python without any need for the special attention Python requires”

  • “Julia has helped us not just bridge the gap between prototyping and production – it has built an 8 lane highway so that the divide has ceased to matter”

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