US-based market maker Virtu Financial has expanded its transaction cost model with the addition of a fixed income pre-trade analytics tool designed to create greater transparency in fixed income markets.
Named Fixed Income Agency Cost Estimator (FI ACE), the tool provides a proprietary pre-trade liquidity model that aids execution decisions, liquidity management, and helps document best execution regarding regulatory obligations.
As of October, FI ACE covers almost 37,500 North American and 25,000 international corporate and agency bonds, 4,000 European sovereign bonds, and almost 450 US treasury instruments.
The tool can be used across liquidity risk management, regulatory compliance, and liquidity scoring for individual bonds, as well as, cost-aware portfolio construction, providing analytics to support program trading, and benchmark trading performance in transaction cost analysis (TCA).
“In response to the rising liquidity demand of corporate and sovereign bonds and increased attention from market participants—specifically algorithm and program traders and regulators around the world—the launch of FI ACE gives our clients the visibility they need to manage liquidity and risk in their portfolios,” said Kevin O’Connor, head of Virtu’s broker-neutral analytics and workflow technology division.
Virtu has made efforts in the past year to boost its analytics capabilities. In September, it launched its post-trade TCA tool, Prism Frontier, to review execution performance across its suite of Frontier algorithms.
The trading firm also expanded its TCA to FX algo trading in August. The TCA for FX algos aims to provide traders with performance evaluation and comparative analysis to improve execution outcomes.