Virtu Financial has enhanced its multi-asset class TCA offering by adding a pre-trade analytics tool designed to provide transaction costs and market impact models for fixed income markets.
Dubbed ‘Fixed Income Agency Cost Estimator’ (FI ACE), the new offering enables Virtu’s TCA clients to better manage execution costs and perform portfolio construction analysis using relevant applications. 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.
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 model tracks all changes in trade conditions or execution venues, while also applies custom measures to perform portfolio construction analysis. As such, the upgraded service enables investors to understand the liquidity environment and manage volatility, which can help reduce trading costs and improve strategy.
Virtu Expands TCA Models to New Markets
The latest additions leverage Virtu’s expertise as a provider of liquidity and multi-asset transaction cost estimates to offer users an unbiased view of fair value at any point in time. At the same time, Virtu is gearing up to upgrade its transaction cost analysis (TCA) portal through integration with the firm’s workflow solutions.
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“In response to the rising liquidity demand of corporate and sovereign bonds and increased attention from market participants — specifically algorithm and program traders and regulators around the world — the launch of FI ACE gives our clients the visibility they need to manage liquidity and risk in their portfolios,” commented Kevin O’Connor, Head of Virtu’s broker-neutral analytics and workflow technology division.
The US electronic market maker has recently launched a new data-as-a-service platform that hosts a catalogue of its services and data endpoints enabled by API architecture.
Called ‘Open Technology’, the product leverages an application programming interface to allow subscribers to access market-data calculations and transaction cost data across equity, FX, fixed income and futures.
Open Technology provides access to Virtu’s TCA results for clients to perform in-house analysis directly as well as API access to its full suite of multi-asset market impact models.