US electronic market maker, Virtu Financial Inc., has enhanced the functionality of transaction costs analysis (TCA) tool dedicated to forex markets with the addition of low latency FX TCA benchmarks. The offering helps Virtu’s pre-trade and post-trade TCA clients better monitor their transaction costs when trading foreign exchange markets.
Virtu says the new benchmarks help currency traders perform portfolio construction analysis, as well as for measuring algorithm execution performance and the quality of liquidity sources.
The latest addition leverages Virtu’s expertise as a provider of FX liquidity, and multi-asset transaction cost estimates to offer users an unbiased view of fair value at any point in time.
As such, the service enables FX investors to understand the liquidity environment and manage volatility, which can help reduce trading costs and improve foreign exchange strategy.
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“Our new FX benchmarks provide our FX TCA clients with access to Virtu’s unique FX market insight as a global multi-asset market maker. The enhanced time granularity and breadth of coverage provide a valuable tool to measure the quality of broker liquidity and the performance of algorithmic executions,” according to Kevin O’Connor, head of Virtu’s broker-neutral Analytics and Workflow Technology division.
FX TCA tool complements equivalent product for other assets
Using Virtu’s ACE Model, the tool assesses trading performance and calculates implicit costs under a variety of market conditions, providing traders with the ability to assess historical trading data with comparisons of liquidity providers and data visualization technology.
Amongst its many functions, the newly released FX model tracks all changes in trade conditions or execution venues, while also applies custom measures to perform portfolio construction analysis. This includes an automated pre-trade execution strategy selection and performance benchmarking that could be integrated into clients’ internal applications for analysis, such as portfolio trading optimization and portfolio liquidity metrics.
The addition of TCA functionality for FX also complements Virtu’s equivalent product for other asset classes such as equities, which is widely used among asset managers.
Virtu makes markets over 25,000 financial instruments, at over 235 venues, in 36 countries worldwide, continuously quoting buy and sell prices for others to trade against, profiting off the bid-offer spread, using high-frequency trading (HFT) strategies.