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.