Virtu Financial rolls out TCA for FX algorithmic trading

The latest expansion of Virtu Financial’s analytics platform will see dedicated TCA for FX algo trading.

Virtu Financial has expanded its analytics platform to include transaction cost analysis (TCA) dedicated to foreign exchange algorithmic execution.

The expansion follows the market maker’s move to extend its TCA services and market impact models to FX and fixed income markets late last year to provide more multi-asset analytics to clients.

The TCA for FX algos will provide users with performance evaluation and comparative analysis to improve execution outcomes. The tool merges data from three sources at Virtu, including FX benchmark data from its market making arm, direct connections to bank algo providers, as well as via its FX Agency Cost Estimator (ACE) tool.

“FX algo execution is increasingly relevant for a large portion of our clients. Our new FX TCA functionality is designed to enable both comparative metrics between providers and strategies, as well as to help clients determine which execution strategies to use given their risk appetite and market conditions,” said Kevin O’Connor, head of Virtu’s analytics and workflow technology division.

In September, Virtu confirmed plans to expand its TCA to offer FX and fixed income analytics via its ACE models for managing execution costs and to perform construction analysis. ACE model applications include pre-trade execution strategy selection, performance benchmarking for trade uniqueness and difficulty, portfolio trading optimisation and portfolio liquidity metrics, which had previously not been available for FX and fixed income.

“Virtu is the leading equity TCA provider to the buy-side, serving 75% of the world’s largest asset managers and this extensive experience – combined with the expertise from Virtu’s multi-asset market making operations – uniquely positions us to support our clients’ analysis of algorithmic execution across asset classes,” O’Connor added.