Institutional trading network Liquidnet offers TCA services for its buy-side clients to assess trading costs in equities globally.
Liquidnet offers benchmarks including VWAP, PWP,
order arrival, order end, indication arrival and match times (for its
alternative trading system offering), and any custom point in time benchmarks.
Liquidnet’s liquidity-seeking and benchmark-focused
algorithms aim to monitor performance against the market to target specific
trading goals. They react to market movements, performing as aggressively or
passively as specified. We measure liquidity in the dark, PWP%, WVAP, TWAP, IS,
POV and close We also provide time-sliced benchmarks to measure impact before,
during and after execution in the Liquidnet pool.
Reporting & consultancy
Liquidnet’s TCA is bespoke with tailored reports
detailing orders and executions across all the dark pools in which it trades.
These reports are configurable, providing multiple benchmarks, and a breakdown
of capitalisation, historical spread, sector, ADV, country, trader, symbol,
execution date, currency, month, quarter, and region. They are available daily,
weekly, monthly quarterly, annually or a client specific period.
Liquidnet aims to identify ways in which clients can
better understand where, how and why they are getting the executions they take
part in. We provide insight in to how best to manage the interaction between
dark and lit markets. Additionally we can help identify venues that execute in
the best way for the clients’ trading styles and sensitivity to market impact
and/or need for liquidity.
Liquidnet provides pre-trade cost estimates (in terms of impact and timing risk) associated with schedules implied by its algorithms. Proprietary impact and risk models are used.