Transaction-cost analysis (TCA), the process by which the quality of brokers’ executions are measured, has, over the course of the last five years, risen to prominence, to the point now where it is one of the most important criteria buy-side firms consider when selecting brokers and placing orders. It is all about measuring and minimizing “slippage”—the difference between the price quoted to an investment manager and the price it receives once various execution costs are factored into the transaction—which, when poorly managed and monitored, can undermine the returns of any trade.
New York-based Quantitative Brokers (QB), an FCM- and dealer-neutral broker-dealer and provider of agency algorithms and TCA reporting functionality across futures and fixed-income products, wins its first ever BST Award, thanks to its Quantitative Brokers TCA platform. With a client base that has doubled since July 2015—currently boasting 44 live sites versus 22 a year ago—Quantitative Brokers continues to refine its TCA offering, with plans to expand its asset class and global exchange coverage of its algorithms and TCA in the upcoming year.
QB’s TCA platform provides traders with transparency into execution performance and each child order’s placement and fills. It generates detailed TCA plots with a visual explanation regarding how algorithms interact in the marketplace and the progress of orders throughout the entire execution window. The platform can be accessed via a secure website, allowing users to aggregate and query a variety of trade and benchmark slippage statistics over any time period. These stats can be expressed in ticks, basis points, and local currencies for all markets supported by QB on the CME, Eurex, Liffe, ICE, MX, BrokerTec, and eSpeed, allowing clients to monitor, assess and export algorithmic trading performance reports with best-execution measurement and quantification in mind.
Recently, QB enhanced its TCA offering by providing clients with the ability to analyze peer-to-peer execution quality of other broker- or vendor-provided algorithms via the QB TCA platform. By way of a daily upload of non-QB algorithmic trading data, clients can analyze summary performance statistics as well as detailed TCA plots for each individual trade, allowing them to conduct peer performance analysis across all futures and US Treasury executions. In July this year, QB launched its Closer algorithm, the fifth strategy in the QB suite of best-execution trading algorithms, developed to meet the asset management community’s growing need for best execution around the closing price benchmark.
With a client base that has doubled since July 2015—currently boasting 44 live sites versus 22 a year ago—Quantitative Brokers continues to refine its TCA offering, with plans to expand its asset class and global exchange coverage of its algorithms and TCA in the upcoming year.
James talks about his trip to Chicago and some of the interesting topics that came up (including a look at disaster recovery demands). Then Anthony and James touch on ISDA's initial margin rules, with Phase 3 going live next year.Subscribe to Weekly Wrap emails