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From Securities Technology Monitor March 8, 2010, Alexa Jaworski Transaction cost analysis, better known by its abbreviation, TCA, has become a big challenge to trading desks. Done right, a firm gets greater efficiencies in its...

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...

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,...

“Historical Price Volatility” * “Order %ADTV”). Price impact, in market price, is calculated as “Last Sale Price” + (“Last Sale Price” * “Basis Points”). The Microsoft...

Data collection cells required are Date Intraday Time Period High Price Intraday Time Period Low Price Day High Price Day Low Price Intraday Time Period Volume Day...

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

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...

A recent survey of investment management firms by The Glass Hammer and Stone House Consulting Group, LLC, a strategic, operational and IT consulting...

NYSE Euronext today released a report regarding November trading volumes. One key note that stuck out was that U.S.-based options trading increased over 50% since 2008. European derivatives? Up 16.4% over last year. WSJ: U.S....