Insights into market microstructure, TCA and tcapy – Cuemacro’s FX TCA software
Cuemacro has been active in TCA space developing tcapy, a fully customisable Python library for doing transaction cost analysis. In this section we collect together Cuemacro’s thoughts about both our tcapy product and about TCA more generally, answering questions from how to do best execution to the lower level software engineering aspects of TCA. We’ve also included a section at the end with links to papers and resources on TCA and market microstucture by academics and industry practitioners, which you may find useful. If you have any questions about TCA or about our tcapy library, please contact Cuemacro.
General articles on TCA by Cuemacro
- Cuemacro’s FX TCA software – tcapy transaction cost analysis – Introduction to TCA and a brief discussion of Cuemacro’s offering
- How to reduce transaction costs when trading FX – Understanding how TCA shouldn’t just be about slippage on trade fills
- Measuring best execution in FX and customising it – General principles of TCA and how tcapy can help you customise the process
- Creating benchmarks for FX – Understanding how to construct benchmarks to judge best execution
- Some perspectives on FX TCA – How different market participants have different TCA needs
- Transaction cost analysis is more than box ticking – TCA should be done to cut trading costs, not just for regulatory purposes
- Keep your trade data private for TCA – How tcapy can help you keep your trade data private and on-site
Software engineering aspects of TCA by Cuemacro
- Reducing TCA maintenance costs – How using Cuemacro’s tcapy can help reduce the maintenance burden
- Having source code for TCA is useful – Everyone has different TCA needs, so customisation is key
- Storing time series data – TCA relies on proper storage of market data which we discuss
- Software engineering is as important as data science – The complexities of dealing with raw data needed for TCA
- What I’ve learnt from developing a FX TCA library? – Understanding the software aspects of TCA
- Why create an open source FX TCA library? – Why transparency is great for clients in TCA
FX fixings and TCA by Cuemacro
- What is the WMR fix and TCA? – Explaining what WMR is and why TCA around it is crucial
TCA beyond FX spot by Cuemacro
- TCA usage across different asset classes – How does take up differ?
- The Beatles.. and TCA for FX options – The complexity of creating benchmarks for TCA of FX options
- Why does bitcoin need TCA? – Understanding why market fragmentation makes TCA even more important
Market microstructure & TCA by market practitioners and academics
Below we list a few resources, by market practitioners and academics in the area of market microstructure, order flow, transaction cost analysis and related subjects. We will be adding to this over time and please drop us a message, if there’s a paper you’d like us to add.
2019
- Cont, Mueller – A stochastic PDE model for limit order dynamics (Apr 2019)
- Markov – Bayesian trading cost analysis and ranking of broker algorithms (Apr 2019)
- Huang, Rosenbaum, Saliba – From Glosten-Milgrom to the whole limit order book and applications to financial regulation (Feb 2019)
- Said, Bel Hadj Ayed, Thillou, Raberyrin, Abergel – Market Impact: A systematic study of the high frequency options markets (Feb 2019)
- Aloric, Sollich – Market fragmentation and market consolidation: multiple steady states in systems of adaptive traders choosing where to trade (Feb 2019)
- Bahamou, Doumergue, Donnat – Hawkes processes for credit indices time series analysis: How random are trades arrival times? (Feb 2019)
- Bucci, Benzaquen, Lillo, Bouchard – Slow decay impact in equity markets: insights from the Ancerno database (Jan 2019)
2018
- Bouchaud, Bonart, Donier, Martin Gould – Trades, Quotes and Prices: Financial Markets Under the Microscope (2018)
- Butz, Oomen – Internalisation by electronic FX spot dealers (Sep 2018)
- Oomen – Price Signatures (Jun 2018)
- Cartea, Jaimungal, Walton – Foreign Exchange Markets with Last Look (Jun 2018)
- Bucci, Mastromatteo, Eisler, Lillo, Bouchaud, Lehalle – Co-impact: Crowding effects in institutional trading activity (Jul 2018)
- Lehmhadri – Market impact in a latent order book (Feb 2018)
- Toth, Eisler, Bouchaud – The short-term price impact of trades is universal (Jan 2018)
2017
2016
- Benzaquen, Mastromatteo, Eisler, Bouchaud – Dissecting cross-impact on stock markets: An empirical analysis (Nov 2016)
- Eisler, Bouchaud – Price impact without order book: a study of the OTC credit index market (Sep 2016)
- Gould, Porter, Howison, – The Long Memory of Order Flow in the Foreign Exchange Spot Market (Jun 2016)
- Toth, Eisler, Bouchaud – The square-root impact law also holds for option markets (Feb 2016)
2012
2009