Keep your trade data private for TCA

It’s been a while since I had my first job at Lehman Brothers. It’s all slightly a blur now. For the first few weeks, we rotated around various desks, in a sort of matchmaking exercise to see where we’d get a job. I remember being thoroughly disappointed at not making the cut for the CDO desk (ok, in retrospect that was probably a good thing!). In the end, I made it to the FX research desk. I still love researching the FX market, and it’s still my main focus. However, the whole rotation exercise, was a good education to see how different parts of the bank worked. I remember sitting on a trading desk, and helping the traders to talk to their various counterparties. I made the mistake of asking for a one sided quote. Of course I didn’t understand what I’d done wrong. The trader explained to me that there was no need to tell the other side that information, and give them an idea which way we were positioned.


It’s perfectly obvious to me now after 15 years in the market, that information has value. There is no need to give away valuable information about what you do if you don’t need to, in particular for free. From a compliance perspective, there is also more consideration over what information is shared in markets these days too and how that information is used. If you do a bilateral trade in FX, the counterparty will know who you are and what you’ve traded with them. Ok, fair enough, but you’re not giving them any further information.


When it comes to analysing your trade data to reduce your transaction costs by doing TCA, you want to look at your entire trade history. From a compliance perspective it’s simpler to keep your trade history private, you don’t have to worry about lots of data leaving your firm, and having to sign off on that. You want to compare the various liquidity providers with one another. This trade dataset is ultimately a valuable resource, in particular, if you’re a larger firm, who has significant market impact. The ability to fully customise your TCA is also important, so that your liquidity providers can’t guess what metrics you define as important. Cuemacro’s tcapy lets you do customisable TCA, whilst keeping your trade data private! 


Firms like Google and Facebook ultimately monetise your dataset, because you given them the right to do so. When it comes to your trade data, it seems reasonable that buy side firms want to monetise their own datasets, and use it to reduce their own transaction costs. If you want to do your TCA all internally, to keep your trade data private, it can however be a costly process. It’ll take you over a year to develop a well featured library and it is non-trivial in terms of the various skillsets required – that’s also over a year when you’re basically losing money because you’re not doing TCA. Then you need to maintain the code over time too, without any help.


Cuemacro’s tcapy library helps to answer these problems! Clients get all the source code. You can run the library internally, and customise it as you want. Cuemacro can also offer technical support if you require it. You can keep your entire trade data internal and private, so you can monetise it, rather than giving it away this valuable resource! It’s an easy way to outsource the task of developing an internal TCA platform and reduce the cost at the same time.


If you’re interested in keeping your trade data private, being able to customise your TCA totally and getting Cuemacro’s tcapy library to help you to cut costs, drop us a message.