Transactional Cost Analysis

New increased legislation requires increased transparency both on costs and on quality of execution.

Proquote's Transactional Cost Analysis (TCA) reporting system provides you with a full report on what an "ideal" transaction could have been, producing a summary of Execution Quality and the shortfall.

Proquote reports are equivalent to those of specialist TCA software houses but are at a far lower cost. Reports can be presented as a PDF Client Best Execution document, customised with a company logo.

Ease of use

The service is provided via the web and is accessed through a user login ID. It operates as a full standalone system, but can be integrated into your own trading data to provide online reports if required.

Simple reporting

Proquote compares the details of the specific trade entered with the order book volumes and prices over the period of the execution (from order entry to notice of execution).

TCA Report with full details

The report presents the trade details together with the results of the analysis in seconds. The data shown includes:

• Arrival Price
• Shortfall
• Market VWAP
• Market TWAP
• Effective Offer
• Open, High, Low, Close, Volume

At the end of the Report a number of benchmarks are presented including:

• VWAP
• TWAP
• Price Median
• Arrival Price
• Order Book Optimal
• Order Book Replay

On any of the exchanges covered by the service, a user is able to select a period in time and replay the order book and see the development of the depth and price movements.

Order Book Replay

As an optional feature to both Best Execution Service and TCA, the Order Book Replay service allows a user to identify a moment in time and view the available Order Book for the stock. The user is able to wind back or forward time to see exactly what was happening on the market before, during and after a trade was completed.