The Tradetech Daily

Deutsche Bank

Deutsche Bank

Deutsche Bank’s trade cost analysis (TCA) offers automated, bespoke intraday and historic post-trade reporting containing in-depth and customisable trading information to enable analysis. The bank’s pre-trade tools include single-stock market impact modelling and block pricing.

Asset classes and markets

Deutsche Bank TCA is available globally for equity
and equity derivatives trading.

Transaction data

Deutsche Bank TCA portal accepts all levels of
trading data, orders, fills, submissions and output formats include PDF
reports, excel, csv, HTML etc.

Benchmarks

Deutsche Bank’s benchmarks include market open
price, arrival price, day VWAP, interval VWAP, marketable VWAP, day close etc.
Deutsche Bank’s TCA can also analyse performance adjusting for expected market
impact normalised for market volatility and spreads. Custom benchmarks are also
available on request.

Reporting options

Deutsche Bank’s standard post-trade reports are
available after market close in PDF or excel-based format. Custom solutions can
also be supported. Reports are available on request or can be scheduled for
delivery. The standard report includes trading totals over the period,
breakdowns for buy/sell, strategy, sector, market capitalisation, ADV,
execution venue, country and participation rates.

Consultancy services

Deutsche Bank’s
execution consulting services (ECS) team provides a range of consultative
options from custom post-trade reporting to in-depth performance reviews. The
ECS team also works closely with the Autobahn algorithmic trading team and
market structure team.

Pre-trade analysis

Deutsche Bank’s pre-trade market impact and block
pricing models use factors such as market volatility, participation rate,
liquidity, spreads and trading strategy to estimate impact costs.

Future plans

Deutsche Bank’s TCA products will increasingly support global views across all trade flows, to provide a ’one-stop-shop’ view for clients. The bank also plans to make both intra-day and historic post-trade available via web interface.