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Blog · Coverage and territory · Trading

Hit ratio on ten inquiries: the whole arithmetic on one page

The complete hit ratio calculation on ten RFQs from two clients in one product, small enough to check by hand: each inquiry's notional and outcome, the count-weighted ratio, the size-weighted ratio, why the two diverge when a client trades the small tickets and leaves the large, the tier the two clients land in on flow and hit ratio, and the assertion that traded notional never exceeds inquired, so a reader can reproduce every figure and then run it on their own RFQ log.

By CoviragePublished 17 September 20262 min read
The short answerTen inquiries, two clients, one product. Each inquiry has a notional and traded or not. Count-weighted hit ratio is trades over inquiries; size-weighted is notional traded over notional inquired. Client X trades four of five inquiries by count, but the one it leaves is the largest, so its size-weighted ratio is 30 percent against 80 by count. Client Y trades two of five by count and both are large: 40 percent by count, 76 by size. On flow and size-weighted hit ratio, Y is the tier-one client and X is the pricing review. Every number can be reproduced by hand.

Hit ratio is trades over inquiries, and which of two weightings is used decides which client looks good. On ten inquiries the difference is plain. This page works both ratios, the divergence, the tiers, and the assertion.

The inquiries

Inquiry Client Notional Traded?
1 X $5m Yes
2 X $8m Yes
3 X $6m Yes
4 X $70m No
5 X $10m Yes
6 Y $40m Yes
7 Y $5m No
8 Y $55m Yes
9 Y $15m No
10 Y $10m No

The two ratios

Count-weighted = trades ÷ inquiries Size-weighted = Σ notional traded ÷ Σ notional inquired

Client Inquiries Trades Count-weighted Notional inquired Notional traded Size-weighted
X 5 4 80% $99m $29m 29%
Y 5 2 40% $125m $95m 76%
Desk 10 6 60% $224m $124m 55%

Client X looks like the desk's best client by count and its worst by size. It trades every small ticket and left the seventy million.

The tiers

Boundaries, stated: high flow above $50m traded per period; high hit ratio above 50 percent size-weighted.

Client Notional traded Size-weighted hit ratio Tier Instruction
Y $95m 76% 1: protect Axe first; salesperson's time
X $29m 29% 4 on these numbers; 2 if flow is high elsewhere Pricing review on large sizes

The assertion

per client: notional traded ≤ notional inquired: X 29 ≤ 99; Y 95 ≤ 125. Holds. Σ clients' traded = desk traded: 29 + 95 = $124m. Holds.

Where it goes wrong, even at ten

Count-weighted as the ranking. X is the top client and the desk prices its large tickets no better next quarter.

Size-weighted on one inquiry. A client with one $70m trade and nothing else reads 100 percent; the window and the count are on the row.

Products blended. X may be tier one in credit and the pricing problem in rates; this page is one product.

Inquiries unlogged. A voice inquiry never entered makes the hit ratio fiction for that client.

From ten to ten thousand

The same two ratios per client per product per period from the RFQ log and the blotter. Covirage runs it every week. The size-weighted hit ratio guide covers the measure, and the client tiering guide covers the tiers the ratio feeds.

Questions people ask

Which ratio ranks?

Size-weighted, because the notional is what the desk earns on. Count-weighted is shown beside it, and the gap between them is itself a finding: a client that takes the small tickets and leaves the large is telling the desk where its price is not competitive.

Does one large inquiry distort the size-weighted figure?

On ten inquiries, yes, and that is the point of showing both. On a quarter's log of thousands, the size-weighted ratio is stable and the count-weighted one is the misleading one. The window is stated.

How does this feed tiering?

Two axes per client per product: notional traded and size-weighted hit ratio, against stated boundaries. Y is high flow and high hit ratio: protect. X is medium flow and low hit ratio on the large sizes: pricing review.

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