Measurement methodology
How the Feed & Execution suite measures
The per-instrument battery for Feed & Execution, the receipts each measurement will carry, and the honest state of what is published today. Looking for what you can buy in this family instead? That is the Feed & Execution suite hub.
What this suite measures, and why
The Feed & Execution suite measures the layer most traders are told to trust and never shown: the broker’s published quote stream, the microstructure underneath it, and what execution against that stream actually cost. Its instruments treat a broker feed as a measurable object — inter-tick cadence, two-sided coordination, per-side staleness, spread regimes, freeze and rollover behaviour — and extend the same discipline to the subscriber’s own fills.
Retail feeds are evaluated today by reputation and screenshots. Neither is a measurement. This suite exists so that "what does your broker’s feed actually do" has a distributional answer with a published method behind it, instead of an opinion.
The measurement battery, per instrument
Each instrument’s battery is summarized from its own published specification. Every dimension follows the six-stage lifecycle defined on the methodology page — pre-registered, content-hashed, deterministic, and shipped with its can-fail proof. Written in the future tense because nothing has been measured yet.
The feed fidelity battery run against a subscriber’s own broker feed, treating the published quote stream as a measurable object rather than a trusted one.
- Publication cadence — inter-tick interval distribution, floor and percentiles
- Bid–ask coordination — joint versus independent update structure
- Per-side staleness — quote-age distributions at each tick
- Spread regimes — change-point detection on the spread series
- Freeze and rollover behaviour at contract boundaries
Honest limit: Where a sample cannot support a dimension, the battery publishes the honest null — "insufficient ticks in sample" is a result, not a failure.
Full instrument page →
Transaction-cost analysis computed from the subscriber’s own imported statements — what execution actually cost, fill by fill.
- Slippage distributions per fill
- Spread-regime context at the moment of execution
- Session-timing structure of realized costs
Honest limit: It measures the subscriber’s own executions from their own records. It does not estimate a hypothetical best execution and does not assert broker intent.
Full instrument page →
Per-pair descriptive microstructure analytics, bundled inside the Broker Feed Auditor subscription and never sold standalone.
- Realized-volatility modelling, with out-of-sample skill reported rather than assumed
- Jump and liquidation share estimates
- Transaction-cost proxies
- Tail behaviour and session structure
Honest limit: Descriptive only. Nothing on this surface is a signal, and the out-of-sample skill of every model publishes beside it.
Full instrument page →
The receipts this suite will publish
Every measurement from the Feed & Execution suite carries the same receipt chain, as defined in the full receipt taxonomy. Four of the six receipt types apply from the first measurement onward:
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Pre-registration
Each instrument’s battery is written and content-hashed before its first data collection. Any post-hoc change to the methodology would change the hash, and would be visible.
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Content hash
Data, code, and results are SHA-256 hashed, so a published result from this suite is recomputable: declared outputs from declared computation on declared inputs.
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Can-fail proof
Every test in the battery ships with a demonstration that it could have failed — a known defect injected and detected. A test that cannot fail proves nothing.
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Kill entries
Hypotheses registered for this suite and killed by the data are published with the same visibility as registrations. No silent disappearances.
What is published today
MEASUREMENTS PUBLISHED: NOT YET PUBLISHED
Nothing. No measurement from the Feed & Execution suite has been published, and this page will say so until one has. That order of operations is deliberate: pre-registration means the methodology is public before the data exists, so no result from this suite can ever have shaped the method that produced it.
When the measurement pipeline goes live, this page links, per instrument: the registered methodology document and its hash, point-in-time data manifests, battery results with confidence intervals and honest nulls, the can-fail proof beside every test, and kill entries for whatever does not survive.