Transaction Cost Analysis
Good execution algorithms can be distinguished from poor ones through the statistical analysis of previous orders.
At itarle, however, we go further than simple comparisons and provide detailed metrics on the following:
Real Time and Historical Trades
The itarle Vision system allows you to monitor the relationship between the parent and child orders in real time as well as all historical trades. It provides details such as historical slippage, volatility, spread, liquidity and fragmentation.
Execution Cost Metrics
At itarle we embed all of the ticketing costs prices per execution venue into the actual algorithms. Therefore, execution costs are minimised with respect to liquidity as part of complex decision making process. Over time, this optimisation provides huge ticketing cost savings for itarle customers and post trade reports are regularly given to prove these savings.
At the customer's request, itarle will provide a latency report per execution venue showing the median time, average time, 95th percentile and the 99th percentile. These latency metrics help itarle customers to identify bottlenecks in the trading process thus enabling them optimise their trading systems and extract more value out of their existing infrastructure.