Author: NULL

The Basics – What is TCA?

TCA is a process used to determine the cost of executing an order. The authority on this method is Robert Almgren and Neil Chris in their paper “Optimal portfolios from ordering information”, Journal of Risk Fall...

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Step 1 – Participation Rate

There are different ways of determining the number of shares that should be presented but a generic method would be: Determine the historical number of shares that trade during a time period (average of data points for 5, 15,...

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Step 4 – Data Formulation

Calculated cells are % Day Volume = (“Intraday Time Period Volume” / “Day Volume”) Average Participation Rate = (Sum “% Day Volume” / “Number of Intraday Time Periods”) Suggested...

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Customization for “secret sauce” calculations can be added. Spreadsheet tabs are protected (locked) without a password. To modify the spreadsheet, right click on the tab name, select...

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