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Transaction Cost Analysis (TCA) Service
Visual TCA
Description
  • MiFID compliant
  • Compatible with any Front-Office system
  • Confidentiality guaranteed by BME standards
  • Broker neutrality
  • Simple reports at affordable prices

The TCA service will enable you to have in-depth knowledge of your implicit execution costs on those markets where you trade directly. It will also detail the real costs of your trading on the remaining markets where you trade through brokers.

Visual TCA will regularly submit PDF reports on the destination and execution quality of your order flow, broken down by market, client, trader, broker, etc. All of this will allow you to know which brokers are providing the best execution or what implicit costs the clients that trade through you are supporting.

Visual TCA is compatible with any Front-Office system and it is available for clients routing their orders through Visual Trader and also for clients using other providers but willing to provide Visual Trader with an executions information file.

Get your FREE test TCA report!

Send to innovacionvt@grupobme.es your executions file as described here and you will receive a report like the one below for your orders.

   

Calculation is done by processing all of your daily executions and benchmarking them against those on the entire market (including Regulated Markets and MTFs) through VWAP-type statistical measures or Implementation Shortfall (IS).

A very detailed Excel spreadsheet is also provided as a complement to the PDF report, enabling a cost analysis for each order.

EXPLANATION OF MEASURES AND GRAPHS:

ACTIVITY SUMMARY:

  • Traded value: Total amount traded in each currency in the reporting period
  • # orders: No. of (non-child) orders in the reporting period
  • # child orders: No. of child orders in the reporting period
  • # instruments: No. of traded instruments
  • # exec. prices /order: Average no. of executions at different prices
  • Participation rate (POV): Average percentage representing the volume traded in respect of the entire volume traded in the instrument during the order interval
  • Exec. time /order: Average length of the order interval, from introduction to last execution
  • % market orders: Average percentage of volume traded with aggressive orders
  • Exchange Activity:  Traded value percentage traded on each market

Graph 1:  Traded value

Each vertical bar shows the traded value in the indicated currency on a day or shorter period of time (based on the reporting period).  The green area of each bar corresponds to purchase orders while red refers to sales orders.

BPS PERFORMANCE OVER:

The average difference in basis points (BPS) is measured between the average execution price of orders analysed and several benchmark prices.  The green and positive areas indicate differences in favour; that is, a profit: buying cheaper than the benchmark, selling higher than the benchmark.  The red and negative areas indicate otherwise; that is, a cost.

  • VWAP day: Difference in respect of VWAP of the entire session where the order was introduced
  • VWAP interval: Difference in respect of VWAP of the interval where the order was executed
  • Spread: Profit/loss from the difference between ask price and bid price during the period of the order. It is calculated as the average spread multiplied by (0.5 - Aggressiveness/100). If Aggressiveness = 0%, half the spread is earned. If Aggressiveness = 50%, it equals 0. If Aggressiveness = 100%, half the spread is paid.
  • Other: Rest of effects on VWAP interval: market risk, impact of orders...
  • IS (opening): Performance over opening price of session where the order was introduced
  • IS (arrival): Difference in respect of value price where the order was introduced
  • First execution delay: Difference between value price at first execution of the order and opening price.
  • Average Ranking: Average score of the analysed orders compared with all the participants in the market. The score of an order is the percentage of the total traded volume on the instrument over the lifetime of the order at prices worse than the average order price. :  0 – 20 %: Bottom, 20 – 40 %: Poor, 40 – 60 %: Normal, 60 – 80 %: Good, 80 – 100%: Top

Graph 2: (BPS)  VWAP interval perfomance

Distribution of the VWAP interval performance in BPS. The length of the bars shows the traded value at the corresponding performance. The dashed vertical line shows the average performance of all the analysed orders.

Graph 3: Distribution of orders by ranking

It shows the Ranking of the client’s orders. The length of the bars indicates the  traded value of orders with the same ranking. A vertical dotted line shows the average.

EXCHANGE ANALYSIS:

Metrics on traded instruments  during order interval, broken down by Home Exchange and MTF´s (even if there aren’t orders for all of them). Only Exchanges from the following list are analysed: BME, Euronext (Paris, Lisbon, Amsterdam, and Brussels), XETRA, CHIX, BATS, MEFF.

  • Traded value: Total amount traded on each Exchange
  • %: Market share (traded value distribution on Exchange)
  • Spread (BPS): Average difference between bid-ask  price
  • Liquidity (thousand €): Amount available on the order book 10 BPS above and 10 BPS below average spread middle point.

Graph 4: Home Exchange Fragmentation

The first pie row shows the client´s traded value distribution among Exchanges. Each pie is a different Home Exchange. The second row shows total traded value distribution.  

PERFORMANCE BY INSTRUMENT:

Some of the metrics included in the report as calculated for instruments with the highest  traded values.  

PERFORMANCE BY TRADER/BROKER/ACCOUNT:

Some of the metrics included in the report as calculated for each trader, broker, account... present in the orders analysed. This breakdown is agreed with the client and it is possible to do it for several criteria.

Note: All order averages are weighted by traded value.

 

 

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