Virtu Financial adds FX benchmarks to TCA

Virtu Financial expands its TCA with FX benchmarks to measure performance and quality of liquidity.

High-speed trading firm Virtu Financial has expanded its transaction cost analysis (TCA) tool with the addition of low latency foreign exchange benchmarks.

Virtu Financial said that FX TCA clients can now use the benchmarks to gain analysis of algorithm execution performance and for measurement of quality of liquidity. The new FX benchmarks are powered by the firm’s technology platform and experience as a liquidity provider, as it seeks to offer an unbiased view of the market.

“Our new FX benchmarks provide our FX TCA clients with access to Virtu’s unique FX market insight as a global multi-asset market maker,” said Kevin O’Connor, head of Virtu’s broker-neutral analytics and workflow technology division. “The enhanced time granularity and breadth of coverage provide a valuable tool to measure the quality of broker liquidity and the performance of algorithmic executions.”

In September, Virtu confirmed plans to extend its TCA and market impact models to cover FX and fixed income markets. The firm said the move is part of its ongoing aim to provide clients with a multi-asset TCA via its Agency Cost Estimator (ACE) model.

ACE model applications include pre-trade execution strategy selection, performance benchmarking for trade uniqueness and difficulty, portfolio trading optimisation and portfolio liquidity metrics, which was previously not available for FX and fixed income.

More recently, Virtu Financial has started signing up clients to its recently-launched outsourced trading service, known as Execution Concierge Service (ECS). Speaking to The TRADE last month, ITG veteran and Virtu Financial managing director, Jack Pollina, who is leading the new service, said Virtu has signed its first client, with negotiations ongoing to sign a second client.