Fidessa
Fidessa Real-time Intelligence provides a broker-neutral execution consulting service, with real-time TCA metrics at the per-order level facilitating mid-flight execution strategy changes. Analytics on orders and trades are calculated from the Fidessa platform by highlighting outlier orders and trades, execution quality is preserved and improved. It covers equities, futures and options. |
Each order has a graphical representation and breakdown by venue, broker, and by lit/dark/OTC. The service allows brokers to quickly respond to client inquiries. A report can be produced during or immediately after the execution.
Benchmarks
The service monitors trading performance in real
time, against a range of benchmarks including arrival price, VWAP, limit VWAP,
participation weighted VWAP, interval VWAP, market volume and participation
over the life of the order. Real-time Intelligence provides transparency on all
interval VWAP across all lit and dark venues. For best execution it allows the
trader/compliance officer to choose which venues should be included in the
consolidated VWAP.
Reporting & consultancy
The service is embedded in Fidessa’s trading
platform, and it provides an HTML report that can be sent to a client.
Analytics numbers are also available in the main order blotter within the
trading platform. Real-time intelligence provides immediate TCA on one order or
group of orders, so the user can see the slippage changing real-time as the
order is executed. The graphical representation with the venue, broker and
lit/dark breakdown will also change in real time. All details will be provided,
both the parent order and fills will show the slippage against the different
TCA benchmarks.
Fidessa has partnered with different brokers to provide ad
hoc consultancy services.
Future plans
Fidessa has recently introduced instructions like Tag 30 (last market) to provide support for TCA analysis of the full order lifecycle.