09.17.2019

Virtu Launches New TCA Models

Virtu Financial Launches New FX and FI TCA Models

Strengthening its Position as the Leader in Global, Broker Neutral, Multi-Asset Class TCA

NEW YORK, Sept. 17, 2019 (GLOBE NEWSWIRE) — Virtu Financial, Inc. (NASDAQ: VIRT), a leading provider of financial services and products that leverages cutting edge technology to deliver liquidity to the global markets and provide execution services and data, analytics and connectivity products to clients, announced today its release of new transaction cost and market impact models for FX and fixed income, as part of ongoing enhancements to its comprehensive multi-asset class TCA offering.

Kevin O’Connor, Virtu’s Head of Analytics and Workflow, commented, “Our ACE Analytics product has been the leading cost and market impact model in the equity markets for the last 10 years, extensively used by both buy and sell-side firms. Driven by strong client demand, extending the model to FX and FI reiterates our commitment to providing a full suite of broker neutral, multi-asset class analytics and trade execution solutions on our global platform.”

The newly released FX and FI models enable our pre-trade and post-trade TCA clients to better manage execution costs and perform portfolio construction analysis using Virtu’s ACE Model. 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.

About Virtu’s Agency Cost Estimator (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. Our Transaction Cost Analysis (TCA) clients use ACE to evaluate and optimize trading strategies and model portfolio liquidity.

Our ACE models are the result of ongoing, multi-year research by Virtu’s financial engineering team and are calibrated against precise venue execution data and anonymized trading activity of Virtu’s extensive TCA client base, as represented in Virtu’s exclusive Global Peer Group dataset.

Virtu’s ACE models and TCA products currently cover global equities, ETFs, futures, foreign exchange (FX) and global fixed income (FI), including corporate and sovereign debt.

About Virtu Financial

Virtu is a leading provider of financial services and products that leverages cutting-edge technology to deliver liquidity to the global markets and innovative, transparent trading solutions to its clients. Leveraging its global market making expertise and infrastructure, Virtu provides a robust product suite including offerings in execution, liquidity sourcing, analytics and broker-neutral, multi-dealer platforms in workflow technology. Virtu’s product offerings allow clients to trade on hundreds of venues across 50+ countries and in multiple asset classes, including global equities, ETFs, foreign exchange, futures, fixed income and a myriad of other commodities. In addition, Virtu’s integrated, multi-asset analytics platform provides a range of pre and post-trade services, data products and compliance tools that clients rely upon to invest, trade and manage risk across global markets.

Related articles

  1. "Robots will learn an awful lot" from March's extreme volatility.

  2. FCMs Focus on Execution
    Daily Email Feature

    Bond Pricing in Focus

    2020 has been a challenging year for pricers of fixed income securities.

  3. State Street Automates Fixed-Income ETFs

    Inefficient repo workflows have been an operational burden for the buy-side.

  4. Basel Committee Consults on Interest-Rate Risk

    The exchange is working to launch Sonia options this year.

  5. Tradeweb AI tool makes it possible to calculate reference pricing in seconds based on dynamic market data.