AppliedMultiple choice

An execution algorithm that looks worse · Part 2 of 3

A broker compares a new execution algorithm with the old one on 200 orders. Old: 80 easy orders with 72 good fills, and 20 hard orders with 10 good fills. New: 20 easy orders with 19 good fills, and 80 hard orders with 44 good fills.

Which algorithm performs better, and why do the overall rates disagree?

  1. AThe old one, since 82% beats 63% on the same number of orders
  2. BThe new one: it wins on both easy and hard orders, but was given mostly hard ones
  3. CNeither can be judged, since the samples are too small
  4. DThe new one only on hard orders; the old one is better on easy ones, where 72 good fills beat 19

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An execution algorithm that looks worse, part 2 of 3 · QuantMax