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Transaction Cost Analytics Library

Transaction Cost Analytics Library contains the Functionality to estimate single Trade/Portfolio Execution Cost, and corresponding Optimal Trajectories.

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Execution => Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic.

Coverage

  • Volume-weighted Average Price
    • Overview
    • Formula
    • Using VWAP
    • References
  • Order
    • Overview
    • Market Order
    • Limit Order
    • Time in Force
    • Conditional Orders
      • Stop Orders
        • Sell-stop Orders
        • Buy-stop Orders
        • Stop-limit Orders
        • Trailing Stop Order
        • Trailing Stop-limit Order
      • Peg Order
        • Peg Best
        • Mid-price Peg
      • Market-if-touched Order
      • One Cancels Other Orders
      • One Sends Other Orders
      • Tick-sensitive Orders
      • At the Opening
    • Discretionary Order
    • Bracket
    • Quantity and Display Instructions
    • Electronic Markets
    • References
  • Time-in-Force
    • Abstract
    • What is Time-in-Force?
    • Basics of Time-in-Force
    • Types of TIF Orders
    • Example of Time-in-Force
    • Reference
  • Indifference Price
    • Overview
    • Mathematics
    • Example
    • Notes
    • Reference
  • Inverted Price Venues
    • Reference
  • Smart Order Routing
    • Overview
    • Benefits and Disadvantages of Smart Order Routing
    • Brief Concept
    • Algorithmic Trading and SOR
    • Cross-Border Routing
    • References
  • Central Limit Order Book
    • Overview
    • References
  • Retail SOR Strategy Builder
    • Retail SOR Wave Instructions
    • Phase-based Conditional Action
    • Additional Considerations
    • Continuous Trading Scenario Overview
  • Execution Cost and Transaction Trajectories
    • Motivation and Practice Overview
    • Post Trade Reporting
    • Optimal Trading
    • Pre Trade Cost Estimation
    • References
  • Execution of Portfolio Transactions - Optimal Trajectory
    • Overview, Scope, and Key Results
    • Motivation, Background, and Synopsys
    • Definition of a Trading STrategy
    • Price Dynamics
    • Temporary Market Impact
    • Capture and Cost of Trading Trajectories
    • Linear Impact Functions
    • The Efficient Frontier of Optimal Execution
    • The Definition of the Frontier
    • Explicit Construction of Optimal Strategies
    • The Half-Life of the Trade
    • The Structure of the Frontier
    • The Utility Function
    • Value-at-Risk
    • The Role of Utility in Execution
    • Choice of Parameters
    • The Value of Information
    • Drift
    • Gain Due to Drift
    • Serial Correlation
    • Parameter Shifts
    • Conclusions and Further Extensions
    • Numerical Optimal Trajectory Generation
    • References
  • Non Linear Impact and Trading Enhanced Risk
    • Abstract
    • Introduction
    • The Model
    • Non Linear Cost Functions
    • Objective Functions
    • Almgren (2003) Example
    • Trading Enhanced Risk
    • Constant Enhanced Risk
    • Linear Enhanced Risk
    • Almgren (2003) Non Linear Example Sample
    • Conclusions: Summary and Extensions
    • References
  • Market Impact Function/Parameters Estimation
    • Introduction, Overview, and Background
    • Data Description and Filtering Rules
    • Data Model Variables
    • Trajectory Cost Model
    • Permanent Impact
    • Temporary Impact
    • Choice of the Functional Form
    • Cross Sectional Description
    • Model Determination
    • Determination of the Coefficients
    • Residual Analysis
    • References
  • Optimal Execution of Program Trades
    • Introduction
    • Efficient Frontier Pricing of Program Trades
    • The Efficient Frontier Including Discount
    • Performance Measures
    • Annualization
    • Definition of the Information Ratio
    • Application of the Information Ratio
    • References
  • Order Placement in Limit Order Markets
    • Overview
    • Introduction
    • The Order Placement Problem
      • Assumptions
      • Proposition 1
      • Proposition 2
    • Choice of Order Type: Limit Orders vs Market Orders
      • Proposition 3 – Single Exchange: Optimal Split between Limit and Market Orders
    • Optimal Routing of Limit Orders across Multiple Exchanges
      • Proposition 4
      • Proposition 4 Corollary
      • Example
    • Numerical Solution to the Optimization Problem
    • Conclusion
    • References
  • Bayesian Trading with a Daily Trend
    • Overview, Motivation, and Synopsys
    • Introduction and the Associated Literature
    • Price Model Using Bayesian Update
    • Bayesian Inference
    • Trading and Price Impact
    • Optimal Trading Strategies
    • Trajectory by the Calculus of Variations
    • Optimality of the Bayesian Adaptive Strategy
    • Stochastic Optimal Control Treatment
    • References
  • Cost Adaptive Arrival Price Trading
    • Synopsys and Key Results
    • Introduction, Background, and Motivation
    • Adaptive Strategies - A Simple Illustration
    • Trading in Practice
    • Other Adaptive Strategies
    • The Market Model
    • Static Trajectories
    • Non Dimensionalization
    • Small Portfolio Limit
    • Portfolio Size Comparison
    • Single Update
    • Single Update Mean and Variance
    • Almgren and Lorenz (2007) Results
    • Continuous Response
    • Continuous Response Numerical Results
    • Discussion and Conclusions
    • References
  • Mean Variance Optimal Adaptive Execution
    • Background, Synposys, and Key Results
    • References
  • Optimal Trading in a Dynamic Market
    • Introduction, Overview, and Motivation
    • Limitations of Arrival Price Frameworks
    • The Liquidation Problem
    • Cost of Trading
    • Constant Coefficients
    • Coordinated Variation
    • Rolling Time Horizon Approximate Strategy
    • Small Impact Approximation
    • Dynamic Programming - Fully Coordinated Version
    • Log Normal and Non Dimensionalization
    • Constant Market
    • Long Time
    • Dynamic Programming - Custom \epsilon (t) and \sigma (t)
    • Log Normal Model
    • Coordinated Variation Model
    • Asymptotic Behavior
    • Numerical Solution
    • Time Discretization
    • Space Discretization
    • Almgren (2009, 2012) Sample Solutions
    • References
  • Systemic Market Making SKU
    • Symbology
    • Glossary
    • Width/Skew/Size Estimation Models
    • Market Making System SKU
    • Market Making Parameter Types
    • Intra-day Pricing Curve Generation Schemes
    • Mid-Price Models
    • Width Models
    • Skew Models
    • Size Models
    • Heuristics Control
    • Published Market Quote Picture
    • Flow Analysis
  • Corporate Bond Auto-Responder (CBAR)
    • Summary
    • Reference Data
    • Flow Diagram - Client RFQ Data
    • Streaming Flow
    • Algorithm Operational Logic Description
    • Algorithm Processing Logic Operating Detail – RFQ Quoting
    • Algorithm Processing Logic Operating Detail - Streaming
    • Auto-Execution of Streamed Levels
    • Inputs
    • Outputs
    • Benchmarks
    • Market Phases
    • Algorithm Operating Constraints
    • Model Use Constraints
    • Operational Risk
    • Level Validation Checks for Algo Levels on Bonds Marked in Spread or Yield
    • Level Validation Checks on Algo Levels for Bonds Marked in Price
    • Level Validation Checks for Outgoing Streamed Prices
    • Reputational Risk
    • Market Risk
    • Sample Risk/Notional Controls for an IG Desk
    • Typical Risk/Notional Controls for HY Desk
    • Risk/Notional Controls
    • Volatility Controls
  • Corporate Bond Skewer
    • Major Components
    • Maximum Auto-responder Sizes
    • Waterfalls
    • Skewing Flow

DROP Specifications