Rosenblatt’s Integrated Transaction Analytics incorporates visual analysis, PM/trader linkage and actionable recommendations to help clients meet their best execution requirements and reduce trading costs. Industry standard benchmarks as well as advanced tick-based analytics, and proprietary charting can all be calculated. Output is published to the firm’s visual analysis system, enabling exploration, viewing and interaction of all results.
Asset classes and markets
Rosenblatt’s TCA service includes all facets of global, equity transaction cost analytics, with transaction data established for the life of a trade.
The firm offers previous close, open, implementation shortfall and arrival price for pre-trade analysis, and comparisons versus interval and full-day VWAP, remainder-of-day VWAP, price-weighted performance and closing price for post-trade reports. Other customisable benchmarks and analytics such as peer ranking and z-scores are also provided.
Rosenblatt breaks TCA down into same day pre- and post-trade, then secondary post-trade (two hours after market close to next day), and historical TCA. Pre-trade TCA runs in real-time and is typically available within seconds after order load. Post-trade TCA is available upon order completion, as well as periodically as orders are filled. Reporting is available via images, PDF, Excel, and secure, internet-based reporting systems.
Rosenblatt’s TCA consulting services assist clients with all aspects of the investment and trading process, including building custom reports, custom benchmarks, and strategic and tactical recommendations.
Pre-trade analysis is designed to quickly provide the trader with an overview of the trade, as well as a pre-trade forecast. Data includes the identifier, side, price, sector, industry, country, capitalisation, volatility trend, liquidity trend, spread, forecast, risk rank, participation rate, and trade duration. Other reports detail risk ranking for tactic and execution channel selection.
Rosenblatt is making major functional and visual enhancements to its TCA tools, which it says will help create a clean, simple, smart, analytical trading tool, for both single and multiple stock trades, with the ability to discern, perceive and guide trading decisions.