Best Ex & TCA 

It's about your performance, your reputation, and your bottom line.

 

Request Demo

 

OneTick Best Ex & TCA

OneTick Best Ex is an agile, platform-based solution to regulatory and competitive execution quality monitoring and optimization. It is built on OneTick, the world’s most advanced tick data management and streaming analytics platform. Sell-side and buy-side firms around the world are already using this platform to cut regulatory risk and gain a competitive edge in venue selection and TCA, continuous pricing, surveillance, strategy back-testing, algo design, and a host of other purposes - both for themselves and their clients.

Both the hosted and deployed versions leverage the data management performance and analytics power of the OneTick Streaming Analytics engine. The and include advanced visualizations, Best Ex alerting, and compliance workflow.

A hosted implementation combines the above with our Cloud market and reference data content, and our hosting platform, and 24x6 managed services into a convenient hosted service dedicated to ‘Best Ex’.

When deployed on-premises, OneTIck BestEx supports closer integration with customer infrastructure and proprietary data sources, supports intra-day monitoring, and allows integration of customer-developed metrics.

Regulatory Compliance – Tuned for regulatory regimes: US SEC/FINRA and CFTC/NFA, Europe’s MiFID II/ESMA, Canada’s IIROC/UMIR rules

Extensible Features - built on top of the OneTick proprietary tick database and stream processing platform, OneTick Market Surveillance is comprised of pre-built, configurable alert rules in support of executing brokers; layering and spoofing, quote stuffing, wash trading, marking the close and many more. Along with the tools and user interface to manage, track and audit alerts, new alert definitions are easily added using the OneTick model construction tool.

 

Small order metrics

‘Small orders’ are those that are not deliberately executed over an interval to minimize impact, and are typically benchmarked to the market as at order arrival.  They may be client orders marked as ‘held’ or DMA orders or SOR orders at the parent or child level. They may be aggressive or passive. Some metrics are more appropriate for marketable orders (e.g. ETQ), and others more appropriate to passive orders (e.g. opportunity cost). The table below lists a subset of the supported metrics.

Metric
Description

Offside Value

The distance in notional units that the impacted side moved from the best price prevailing at the time the order arrived. May be calculated relative to a windowed spread that accommodates small timestamp misalignments or quote flicker.

Effective Spread

A measure of the impact of an aggressive order. It is the distance in notional units that the midpoint of the spread moved from the price prevailing at the time the order arrived. Defined in U.S. Reg. NMS Rule 605 and ESMA RTS 27 Article 2(l)

ETQ Pct

The ratio of Effective Spread to Quoted Spread as a percentage.

Fill to BBO size ratio

The ratio of the executed size to the arrival top-of-book liquidity.

Fill Ratio

The ratio or fill quantity to expected quantity

Takeout Success

For aggressive orders, a version of Fill to BBO size ratio that yields p(success) when aggregated.

Realized Spread

The five minute forward markout as defined in Reg. NMS Rule 605

Mid-to-mid markouts

Backwards and forwards mark-outs from the arrival mid-point to the backward or forward mid-point at a configurable set of time horizons.

Execution delay

Median, Mean, and Max execution delays. For single orders, the delay to first and last execution are calculated. In reports, may be calculated selectively for aggressive orders.

Opportunity cost

Forward mark-outs may also be calculated for non-executed orders, yielding a notional cost of non-execution, similar to large order opportunity cost.

Basic statistics

Volume, notional, %orders executed outside, at, and inside the NBBO, etc.

LARGE ORDER METRICS

“Large orders’ are those that are executed algorithmically or manually over a period of time and for which interval benchmarks are appropriate. When received from a customers, they would typically be marked ‘not held’. Large orders may have child orders for which ‘small order’ execution quality metrics are useful. For large orders, the primary metrics of interest are achieved price vs. a benchmark and opportunity cost (hypothetical achieved price vs. a benchmark for the non-executed portion). The variety is in the benchmarks.

Metric / Benchmark
Description

Implementation shortfall

The order’s VWAP vs. the market’s arrival or decision price

Shortfall to VWAP

The order’s achieved VWAP vs. the market’s interval VWAP

Shortfall to TWAP

he order’s achieved VWAP vs. the market’s interval TWAP

Shortfall to open

The order’s VWAP vs. the market opening price

Shortfall to end

The order’s VWAP vs. the final fill price (or mid-quote)

Opportunity cost

The un-executed portion of the order marked from a hypothetical execution price (e.g. the VWAP) to any of the benchmark prices listed above.

Truncated or winsorized mean

Similar benchmarks to those listed above, but filtered to remove outlier prices.

VWAP to fixed aggregate benchmarks

E.g. all day VWAP, previous day(s) average price.

PWP<rate>

Participation-weighted-price. Benchmark the order to the market’s VWAP assuming a fixed participation rate. Benchmark participation rates are configurable.

VWAP-to-mid mark-outs

The order’s VWAP vs. a configurable set of forward and backward ‘marks’, which can include the Close and previous day Close and multi-day horizon forward and backward closing prices. See footnote 1.

Participation rate

The order’s calculated participation rate

Max part rate

The maximum interval participation rate

Interval volatility

Vs. all-day volatility (longer term benchmarks available with OQD data)

Providing to taking ratio

How aggressive was the order? Can be calculated based on venue-provided liquidity flags or based on a limit price heuristics.

Basic statistics

Volume, notional, %orders executed outside, at, and inside the NBBO, etc.

Out-of-the-box Solution

Intra-day and T+1 monitoring of transactions flow. It includes advanced visualizations, support for both immediate and worked orders, alerting, filtering and outlier management, aggregate reporting, and compliance workflow.

Budget-friendly

Outsource your compliance obligations at a cost far below in house development and competitive products.

 

REQUEST YOUR DEMO TODAY

 

Request Demo