TCA Report

Transaction Cost Summary

  1. # of order
  2. Notional Executed
  3. Duration
  4. Spread (Bps)
  5. Volatility
  6. Order Size (%ADV)
  7. Cross Rate
  8. Percent of Volume (POV): http://empirica.io/strategies-catalog/pov

Performance (bps)

  1. Arrival
  2. VWAP
  3. Open
  4. Close
  5. REV30
  6. Participation weighted price: PWP10
  7. Participation weighted price: PWP20

Intraday Price Movement

Reference

How do you measure your execution? http://asiaetrading.com/how-do-you-measure-trade-performance/

Best Execution https://en.wikipedia.org/wiki/Best_execution

Know your benchmark https://www.rcmalternatives.com/rcmx/2018/06/know-your-benchmark/

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