Transaction Cost Analysis
– TCA Tool by GPW TechTCA
The tool allows you to analyse the micro and macro structures of stock exchange transactions. It provides a complete real-time overview of the investment process and highlights all implicit and explicit costs. Our tool is compliant with MIFID 2 ensuring best execution.
Functionalities & Benefits
- Market overview
- TCA Aggregates
- Order book
- TCA Fixing
- Trade analysis
- Sesion time table
- Swift and easy visualization of transacions and data viewing
- Complete snapshot of hiden and explict costs
- Measuring and managing complex transactions and execution processes
- A comprehansive picture of the investment process
The most important functions of the TCA Aggregates module from an investors’ point of view:
Market Impact indicates how much an order of a given value would have on the short-term change in the price of a given asset. This is the ”liquidity price” paid by the taker. Market impact is calculated each minute for each asset.
Book Depth data is conceptually the opposite of market impact. In market impact, a specific order value is assumed and a spread is obtained. In the case of book depth, a specific spread is assumed and an order value is obtained. This data shows the actual liquidity available to investors at a given spread price.
Volatility measures the share price volatility on the basis of the midpoint price – i.e. the middle price between the best buy and sell bids
Spread Leeway measures the spread between the best quoted buy and sell prices, expressed as the number of tick size minus 1.
Order-to-trade (OTT) meter indicates how many operations on orders occur per 1 trade. A high OTT (amounting to a dozen / several dozen) is sometimes interpreted as an indication of a high level of saturation of trade with orders generated by HFT-type algorithms.
Delay Cost specifies the so-called time risk of a passive investor (maker) placing an order in the order book and waiting for the other party – the active investor (taker) to confirm the order
Probability of fill is calculated as the number of orders fully fulfilled divided by the number of new orders placed in a given time. Only orders placed during a given trading session are analysed (orders from the previous trading session are ignored).
Key functions of Market Overview segment:
- provide general information on each market – Shares & Futures, for a selected date
- possibility to choose any share – the size of the visible tile is correlated to the actual amount of trading
- intraday price and volume chart – interactive charts with drill down & zoom functions
- charts can be used to analyse the concluded transactions based on the time, price and type of transaction
- after selecting statistical data from several months, it’s possible to visualize the current day’s transactions against the background of statistical data from a longer period
- most charts have the option to export data to CSV, PDF, etc
TCA Tool can be used by:
- Investment & Pension funds
- Brokerage Firms
- Investors and independent analysts
- Stock exchanges