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Virtu Financial Launches New FX and FI TCA Models
Traders Magazine Online News, September 23, 2019
Virtu Financial, a 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 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.
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