Liquidity
Measuring execution quality instead of guessing at it
Execution quality is one of the few costs in a brokerage that is both large and routinely unmeasured. It hides because it never appears as a line item — it arrives as a slightly worse fill, thousands of times, and gets filed under market conditions.
Spread is the number everyone quotes
It is visible, comparable and easy to put on a slide. It is also the component of execution cost that providers have the most control over presenting favourably, which is exactly why comparing on it alone tends to produce a decision that looks better on paper than in the account.
A quote that is excellent in one lot and disappears in ten is a different product from one that holds. Both show the same headline number.
The three that actually add up
Real execution cost is spread plus slippage plus the cost of orders that did not fill. The third one is invisible in most reporting because a rejected order leaves no position behind to account for, but the client either re-sent it at a worse price or went elsewhere.
Spread — what you are quoted, in the size you actually trade
Slippage — the gap between the price requested and the price received
Rejection — the orders that did not fill, and what the client did next
Measure in the conditions that matter
Averages across a whole month are close to useless, because execution quality is not evenly distributed. It is fine in calm markets for everyone, and it separates sharply during news, at the session open and around rollover.
Segment by those windows and the differences between providers become obvious. A provider that looks mid-table on the monthly average and poor in the fast windows is expensive in exactly the moments your clients remember.
Make it somebody's number
Measurement without ownership becomes a report nobody reads. Fill ratio and average slippage should belong to a named person, be reviewed on a fixed cadence, and be compared against the previous period rather than against an abstract target.
The first month of doing this usually produces one surprising finding. The value is not in that finding — it is in the second and third months, when a change can be attributed to something rather than guessed at.
What to do with the answer
Poor numbers do not automatically mean the provider is at fault. Routing configuration, order type defaults and where the servers sit all contribute, and the first two are usually cheaper to fix than the relationship.
If the numbers stay poor after those are addressed, the conversation with the provider is a much better conversation for having the data in it.
In short
What to take away
Cost is spread plus slippage plus rejection — never spread alone
Segment by news, open and rollover; monthly averages hide the difference
Rejected orders are a real cost even though they leave no position
Check routing and order-type defaults before blaming the provider
Read next
What is your fill ratio today?
If the answer is that nobody tracks it, that is the finding. We can quote against your own symbols and sizes so the comparison is real.