Virtu Financial releases new transaction cost and market impact models for FX and fixed income

Maria Nikolova

The newly launched FX and FI models enable Virtu’s pre-trade and post-trade TCA clients to better manage execution costs and perform portfolio construction analysis using Virtu’s ACE Model.

Virtu Financial Inc (NASDAQ:VIRT) has earlier today announced the launch of new transaction cost and market impact models for FX and fixed income, as part of the company’s ongoing enhancements to its comprehensive multi-asset class transaction cost analytics (TCA) offering.

Kevin O’Connor, Virtu’s Head of Analytics and Workflow, commented, “Driven by strong client demand, extending the model to FX and FI reiterates our commitment to providing a full suite of broker neutral, multi-asset class analytics and trade execution solutions on our global platform.”

The newly released FX and FI models enable Virtu’s pre-trade and post-trade TCA clients to better manage execution costs and perform portfolio construction analysis using Virtu’s Agency Cost Estimator (ACE) Model. Model applications include pre-trade execution strategy selection, performance benchmarking normalized for trade uniqueness and difficulty, portfolio trading optimization and portfolio liquidity metrics – functionality that was not previously available for FX and FI.

Virtu’s ACE models are econometric models that provide transaction cost estimates for equities, FX, and fixed income, accounting for the unique characteristics of the underlying instrument, market conditions, trade size and execution strategy. The TCA clients use ACE to evaluate and optimize trading strategies and model portfolio liquidity.

Virtu’s proprietary ACE model estimates costs, compares essential data and evaluates market conditions for more than 50 markets using historical volume, volatility and spread data throughout all touchpoints of the trade life cycle. ACE is recalibrated quarterly with trade data from Virtu’s Global Peer database.

Virtu’s ACE models and TCA products currently cover global equities, ETFs, futures, foreign exchange (FX) and global fixed income (FI), including corporate and sovereign debt.

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