Virtu Launches New TCA Models

Virtu Financial, Inc. announced its release of new transaction cost and market impact models for FX and fixed income, as part of ongoing enhancements to its multi-asset class TCA offering. The newly released FX and FI models enable pre-trade and post-trade TCA clients to better manage execution costs and perform portfolio construction analysis using Virtu’s ACE Model. Virtu’s ACE models are econometric models that provide transaction cost estimates for equities, FX, and fixed income, accounting for the unique characteristics of the underlying instrument, market conditions, trade size, and execution strategy. Model applications include pre-trade execution strategy selection, performance benchmarking normalized for trade uniqueness and difficulty, portfolio trading optimization and portfolio liquidity metrics – functionality that was not previously available for FX and FI.  Transaction Cost Analysis (TCA) clients use ACE to evaluate and optimize trading strategies and model portfolio liquidity.