Virtu Financial Adds New Transaction Cost and Market Models for FX and Fixed Income

Ricardo Esteves

Ricardo Esteves has seen business and economics through many lenses. He joined the Financial Services Industry in 2009, and has been a financial journalist since 2011. He holds a degree in Business Administration and has experience producing real-time news, from both buy-side and sell-side, as well as for retail traders, brokers and service providers. Esteves' work has appeared in a variety of online publications including FX Street and FinanceFeeds.

Virtu Financial

Virtu Adds New Transaction Cost and Market Models for FX and Fixed Income

September 20, 2019

Virtu Financial has enhanced its multi-asset class TCA offering by adding new transaction cost and market impact models for FX and fixed income.

The new 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 the Agency Cost Estimator (ACE) Model and its applications, such as pre-trade execution strategy selection, performance benchmarking normalized for trade uniqueness and difficulty, portfolio trading optimization, and portfolio liquidity metrics.

Virtu’s Agency Cost Estimator (ACE) models 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. ACE is used to evaluate and optimize trading strategies and model portfolio liquidity. The firm’s ACE models and TCA products cover global equities, ETFs, futures, foreign exchange (FX) and global fixed income (FI).

Kevin O’Connor, Head of Analytics and Workflow at Virtu, commented: “Our ACE Analytics product has been the leading cost and market impact model in the equity markets for the last 10 years, extensively used by both buy and sell-side firms. 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.”

Virtu provides technology to deliver liquidity to the global markets and provide execution services and data, analytics and connectivity products to clients. Virtu’s clients are able to trade on hundreds of venues across 50+ countries and in multiple asset classes.

Earlier this year, MarketAxess Holdings partnered with Virtu Financial to provide institutions with enhanced trading tools and access to global exchange-traded funds (ETFs) and fixed income securities. In early 2018, Fidessa connected its market access solutions to Virtu’s Systematic Internaliser’s (SIs) customizable liquidity. The scope of SIs has been further expanded to investment firms which deal on their own accounts by executing client orders outside the trading venues.

In late 2018, Virtu Financial appointed David Urban, an industry veteran with over two decades of experience in senior-level roles in US government, law and consultancy, to its Board of Directors while in the process of acquiring ITG, a multi-national agency brokerage in a deal worth $1 billion.

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