Trading Analytics

Innovative tools for preserving alpha and spotting trends

The most direct route from uncertainty to clarity is ITG’s data-driven analytics. We have pioneered the field of investment analytics with innovative data sources, breakthrough methodologies, and extensive global and historical coverage. We’ll help you uncover the hidden costs that can erode your profits—before, during, and after you trade.

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ITG experts in market microstructure and financial engineering join forces to help you forecast risk and predict trading costs to optimize your portfolio. And when you’re ready to trade, ITG’s powerful real-time TCA will identify the best route and quickly redirect you if conditions change mid-course.

You can’t control costs you can’t measure. Our unique tool suite, combined with data only ITG can provide, helps you uncover hidden costs and improve trading strategies to preserve alpha. We bring together extensive real-time and historical data with the industry’s best expertise, so you can make the most informed decisions regarding strategy, broker, algorithm, and venue. Plan the best execution route, change course if you need to, and compare your performance against peers and benchmarks to identify opportunities for even greater improvement.

TCA

ITG TCA provides a window into your entire investment process to help you address best execution practices. By assessing trading performance and implicit costs under various market conditions, our consultants can help you adjust strategies, reduce trading costs, boost fund performance, and potentially improve your fund’s ranking.

Our TCA lets you identify costly trades and limit risk using daily feedback. Analyze the impact of spread and price using ITG’s proprietary Agency Cost Estimator model and compare relative trading performance against the industry’s most extensive database of trades*. Easily detect where slippage and costs occur, generate detailed reports on compliance, destinations, and broker performance, all towards the goal of making more informed execution decisions.

Our TCA solution is available as a real-time offering for traders and is also a solution for portfolio managers, because of its focus on costs, returns, and alpha patterns. Our experts can also provide execution and venue-level analysis and bespoke TCA consulting.

Experience a “lite” version of our TCA. Try our index app now.

The ITG Equities Trading Cost Index app is now available to all users. Use the results to gain trading insights, support a strategy, or do a quick cost estimate at any time.

This proprietary ITG-developed measurement tool lets you compare trading costs based on variables like date, market, and scope (all equities, top 50, and top 20). View a general overview of trading costs across all sectors and equities or see breakdowns by market cap, percent MDV, and individual sector. No downloads required.

FX TCA

ITG provides access to one of the industry’s most comprehensive FX transaction databases and a full set of analytics to help you improve execution quality and meet compliance requirements. Use it to see inside the FX marketplace to sharpen your execution expertise by comparing your actual FX pricing and transaction costs to benchmarks matched to your timing, currency pairs, banks, brokers, and other parameters.*

Detailed, graphically illustrated reports show the strengths and weaknesses of your strategy compared to relevant benchmarks, so you can calculate slippage and redirect your strategy toward best execution. Count on ITG’s experience and worldwide leadership in equity TCA to help you maintain compliance and guide your FX process improvement.

Experience a “lite” version of our FX TCA with our index app.

The handy (and free) ITG FX Trading Cost Index app estimates the cost of liquidity for trading 20 common currency pairs and five currency aggregates based on deal size and implied volatility, taking into account historical costs, as well as recent trends. Use the results to gain trading insights, support a strategy, or do a quick cost estimate at any time. No downloads required.

Track FX volatility throughout the day with the ITG FX Volatility Index app.

Because trading costs vary—sometimes widely—throughout the day, ITG analysts have created a helpful index and free app to track and calculate volatility across dealer and ECN consolidation at key times of interest throughout the trading day. Use it to help make better trading decisions, track potential slippage for various deal sizes, and select favorable times to trade.

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Smart Trading Analytics

Dynamic decision support tools let you act on new insights as they are revealed and control costs through all stages of an order’s life cycle. Forecast transaction costs, assess market conditions in real time, identify difficult trades, and select the appropriate strategy, all geared toward the goal of minimizing the cost of trading. During trading, view real-time charting of today’s market volume and quotes, identify potentially costly outliers, and see historical intraday stock profiles with recent data on volume, spread, and volatility.

You can even assess long-term trade costs using ITG’s Agency Cost Estimator, our state-of-the-art econometric model, to receive pre-trade cost estimates based on real-world execution data and strategy. You can also view historical performance by algorithm strategy for your own trades and for the trades in our extensive peer group, providing input to support your decisions throughout the trading process. And wherever you trade, we have you covered, with cost estimates for a growing list of more than 70 countries.

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Execution Analysis

ITG’s execution analysis allows you to view fill-level data with remarkable transparency. The web-based analytics tool provides deeper insights into your current execution strategies, with an eye to improving performance. Using FIX-based data, our new portal helps you compare your trades against numerous benchmarks based on broker, algorithm, trading strategy and venue, among others.

View your data graphically in charts and grids as you explore the details of your execution-level trades. Click on data items to quickly drill into outliers, review broker performance and analyze the effectiveness of your trading strategies. Customize your interface to work the way you do, switching seamlessly from broker to venue to algorithm views to quickly spot factors that may improve your performance.

Our execution analysis gives you anytime access to your historic execution-level data and algo usage. Focus on the data you want to gain actionable insights and make informed strategic decisions. Interactive graphics let you quickly pinpoint areas of interest. Click on orders in the order grid to delve more deeply into the individual fills that constitute the order.
Execution Analysis Screenshot

 

* Historic data is generated by the ITG Peer Database, one of the largest trading transaction data banks in the world. Other offerings display only post-trade data (in hindsight), and don’t have access to our vast peer universe covering more than 200 of the largest global buy-side institutions.

From the Blog

September 01, 2016

A Side-by-Side Comparison Between ITG’s Size-Adjusted Spread Cost Estimates and the “True” Realized Costs of Institutional Investors

ITG’s size-adjusted spread (SaS) cost estimates provide guidance on the anticipated costs associated with instantaneous spot trade executions, measured relative to the prevailing mid-quote rate at the trade time. The underlying data for our model contains dealer quotes from 6 global banks and 5 major ECNs. By varying the manner in which we consolidate the limit order book across trading venues / liquidity providers, we are able to reflect different trading styles and credit tiers as well as varying degrees of sophistication of market participants. The use of the empirical limit order book enables us to construct cost estimates for instantaneous trading at various consolidation levels, deal sizes, as well as at various times of the day.

Onur Albayrak

Researcher, Financial Engineering

Milan Borkovec

Managing Director, Head of Financial Engineering

RECENT AWARDS

  • 2015 – Best TCA Provider

    Waters Rankings

  • 2014 – #1 Outstanding TCA Provider

    The Trade Hall of Fame Awards, Europe

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