Trade cost analysis is going a step deeper and measuring execution quality at the fill level.
According to Abel Noser, the new product will analyze the National Best Bid and Offer (NBBO) as well as quote activity at specific trading venues, evaluating fills at the precise millisecond that the trades are executed. The product determines whether fills occurred with the spread, measured as a count or weighted average.
The improved service also looks at the difference between executed trades and the midpoint. Users can analyze a number of other reference points using interactive pivot tables or through standardized reports.
To develop the product, Abel Noser constructed a detailed record of quote activity in the U.S. and a simulated consolidated tape in Europe.
The firm added that fill measurement has a number of applications, including evaluating algorithmic execution, venue toxicity, spread capture and the detection of adverse gaming.
The new TCA functionality is available via its Trade Zoom TCA platform and clients can get more detailed reports via the system directly or through email reports.
