Understanding the Transaction Cost Analysis

Instructions

Transaction Cost Analysis lets you analyze the cost of the decision to trade over a specified time period with respect to various benchmarks.

Each executed trade in the period of the analysis is marked to a series of performance benchmarks with the results displayed in multiple interactive tables. You can drill down in a variety of categories, including trade date, order side, exchange, trade price and underlying, to see how each trade performed when compared to the benchmark. The performance of a trade is calculated by marking the trade price to each benchmark. A positive number indicates that the trade worked in your favor; a negative number indicates that the trade did not work in your favor.

Indicates whether an order was marketable or not. A marketable order is either a market order or is an order that is bought at a price that is greater than or equal to the prevailing ask price (or sold at a price that is less than or equal to the prevailing bid price) when the order is submitted.

Every trade has costs associated with the transaction. There are explicit costs like commissions and exchange fees etc, and there are implicit costs that depend primarily on the characteristics of the trade relative to prevailing market conditions and trading strategy.

The Transaction Cost Analysis report compares trades to various industry standard benchmarks and some unique measures, allowing you to evaluate the quality of the executions.

Unit of measure that describes the percentage change in the value or rate of a financial instrument. One basis point = 0.01%, or 0.0001 in decimal form. Performance metrics are expressed as basis points (bps) of value traded.

All commissions are in your account's base currency. When we add notional value and total premium, those will also be in account's base currency. The trade price will stay in traded currency.

We mark each trade to a series of benchmarks such as price improvement, arrival price and more. We aggregate trades weighted by volume and present overall performance as well as various tables that show performance broken down by various criteria such as trade date, trade price, underlying, exchange and more.

Negative numbers are indicated by parentheses.

You can drill down into reports by clicking categories, essentially filtering the results as required; the current active filters are always displayed at the top of the page and you can remove any individual filter by clicking the X icon next to the filter. Detailed tables show data for the following:

  • By Trade Date
  • By Trade Side
  • By Order Type
  • By Adaptive Order Priority/Urgency
  • By AlgoType
  • By Exchange
  • By Order Size
  • By Trade Size
  • By Trade Price
  • By Order Live Time in Seconds
  • By Underlying

You can also view the details of each order in the Order Details table, which opens on a new page.

Outliers for each performance benchmark are displayed in the Outlier Analysis section, which shows an analysis of the Top and Bottom symbols for all performance benchmarks.

The following table shows all of the columns in the Transaction Cost Analysis report and their descriptions, including all of the performance benchmarks.

Column Definition
Orders Number of executed orders.
Total% In Detail views, this column follows the Orders column. It shows the line item's percentage of the total number of executed orders. For example, in the By Trade Side breakdown, suppose there are 40 Buy orders and 60 Sell orders. The Total% of Buy orders would be 40, or 40% of the total number of orders, and the Total% of Sell orders would be 60, or 60% of the total number of orders.
Trades Number of individual fills/executions.
Total% In Detail views, this column follows the Trades column. It shows the line item's percentage of the total number of fills/executions. For example, in the By Trade Side breakdown, suppose there are 232 trades that were Buys and 341 trades that were Sells. The Total% of Buy trades would be 40.5, or 40.5% of the total number of trades, and the Total% of Sell trades would be 59.5, or 59.5% of the total number of trades.
Qty Number of executed shares/contracts.
Total% In Detail views, this column follows the Quantity column. It shows the line item's percentage of the total number of shares or contracts executed. For example, in the By Trade Side breakdown, suppose there are 79,853 shares traded that were Buys and 11,662 shares traded that were Sells. The Total% of Buy shares would be 40.5, or 40.5% of the total number of shares traded, and the Total% of Sell shares would be 59.5, or 59.5% of the total number of shares executed.
Performance Benchmarks
Price Improvement Basis points that your orders were filled better (worse) than National Best Bid (for sell orders) or Offer (for buy orders) at time each order was submitted. Market prices may change while the order is executing, particularly if the order is executed in parts. A negative number does not mean that the order was not submitted at the National Best Bid and Offer.
Arrival Price Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer at time each order was submitted. Market prices may change while the order is executing, particularly if the order is executed in parts. A negative number does not mean that the order was not submitted at the National Best Bid and Offer.
vs Trade +1 min Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer one minute after each trade.
vs Trade +10 min Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer ten minutes after each trade.
vs Trade +1 sec Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer one second after each trade.
vs Trade +10 sec Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer ten seconds after each trade.
vs Trade + 30 sec Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer thirty seconds after each trade.
vs Trade + 300 sec Basis points that your orders were filled better (worse) than the midpoint of the National Best Bid and Offer three hundred seconds after each trade.
vs Close Basis points that your orders were filled better (worse) than the Close price of each security on the day the order was executed.
vs VWAP Basis points that your orders were filled better (worse) than the VWAP (volume weighted average price) for each order's security measured between the time of each order's submission and the time the order is completed or cancelled.
vs Daily VWAP Basis points that your orders were filled better (worse) than the VWAP (volume weighted average price) for each order's security measured over the entire day of trading that the order was executed.
vs Daily Range

Percentage of today's High and Low price range that the trade captured. For example, a buy at the day's low captures 100% of the daily range. This is calculated as the average across included orders of:

Buy Orders: (Daily High - Execution Price) / (Daily High - Daily Low)

Sell Orders: (Execution Price - Daily Low) / (Daily High - Daily Low)
Fill Rates
Filled/Total Qty

Average across included orders of:

Fill Quantity/Total Quantity.
Fill Rate/sec

Average across included orders of:

Fill Quantity / Total Quantity per second.
Feasible Fill Rate Percentage of an order that could be filled considering the size available at the NBBO.
Commissions
Commission Sum of commissions for all included orders.
Commission/Share Average commission per share/contract.
Order Details
Ticker Symbol.
Submit Date The date on which the order was placed.
Submit Time The time at which the order was placed.
Time Zone Time zone for the order time.
Live Time Duration the order was live.
Type The order type (Market, Limit, etc.).
Side Identifies the order as a Buy or Sell.
Order Qty Order quantity.
Trades Number of individual fills/executions.
Trade Qty Trade quantity.
Average Price Average trade price.

 

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