Evaluation of order execution quality

A non-transitory computer-readable medium storing instructions that, when executed by a processor, cause a computer system to evaluate the quality of order execution during a relevant period, by performing the steps of:

• receiving and aggregating market information for one or more market instruments on one or more exchanges;
• generating a time-series of quotes for the relevant time period;
• determining a standard deviation of a price of the market instrument during an order execution based on the time-series of quotes;
• determining an expected standard deviation of a price of the order execution traded using N trades;
• and
• determining a normalized benchmark for assessing a quality of the order execution utilizing the standard deviation of the price of the market instrument, wherein the normalized benchmark is an adjusted Z score for the trade.

A method for evaluating the quality of an executed order during a relevant period, comprising:

• receiving an order for a market instrument via an order entry interface, rendered via a graphical user interface;
• displaying order parameters that define orders to be executed on one or more exchanges;
• receiving and aggregating market information for the market instrument;
• generating and displaying a time-series of quotes for the relevant period;
• calculating an adjusted Z score;
• and
• displaying the adjusted Z score via the graphical user interface either as a text overlay to other market instrument charting or visualization tools or as a standalone graphical display.