Point In Time TCA API

Methodology

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Point In Time Analytics

Methodology

 

One of the most common use cases for market history is transaction cost analysis (TCA) also known as best execution (BestEx). The purpose behind TCA analysis is to measure performance of executed trades (orders and/or fills). TCA leverages various market prices and computed analytics otherwise known as benchmarks for this performance measurement. The comparison of orders to benchmarks provides a means to measure the efficacy of a trader, algorithm or venue.

Benchmarks consist of interval, point-in-time and end of the day pricing data. A key characteristic of TCA analysis is benchmarks are most often unique to the individual order (i.e. traded instrument of the order) based on its arrival and ending timestamps (i.e. the interval). To that end, this OTC query API is optimally designed for this case.  The API includes four functions (queries):

  1. Point-In-Time
  2. Interval

Each function takes a structured input consisting of multiple instruments (the Security ID) where each one has a set of attributes, most notably the date/time unique to the instrument. This input structure can be provided in batch (i.e. multiple securities each with their own unique set of attributes) up to 32k in total length.  See the section Common API Input for details.

 

Common API Input Structure

 

The input to each API is a fixed-field/delimited structure; optional fields would be empty (null) values. The input has a field delimiter (a tilde ~) and a row delimiter (pipe |), the general format is as follows:

|SecurityID~SymbologyName~MICs~QueryID~StartDatetime~EndDatetime|…

 

We can classify the 7 fields as follows:

Field

Description

SecurityID

The Instrument identifier

Symbology

Symbology of the SecurityID, see below for the list of supported symbologies

MICs

Exchange MICs for this SecurityID – this identifies the respective market and what exchanges to include for the consolidated markets

QueryID

A user-supplied identifier for this query invocation

StartDatetime

Date (or date & time), ISO 8601 format: e.g. YYYY-mm-DDTHH:MM:SS.qqqqqq+/-HHMM see https://en.wikipedia.org/wiki/ISO_8601  Note the time resolution is to the microsecond.

EndDatetime

Date  (or date & time), ISO 8601 format: e.g. 2018-09-05T11:01:33.000000+/-0000 see https://en.wikipedia.org/wiki/ISO_8601

 

Here are a few examples:

 

VOD LN~BTKR~XLON.TRQX.CHIX~QiD~2019-01-07T09:33:00.000000+0000~2019-01-07T10:15:00.000000+0000|

DANSKE DC~BTKR~XCSE.CHIX~QiD ~2019-08-08T10:00:00.000000+0000~2019-08-08T14:00:00.000000+0000|

HKSAV FH~BTKR~XHEL.TRQX.CHIX~QiD~ 2019-01-07T09:45:00.000000+0000~2019-01-07T10:45:00.000000+0000|

SIE GY~BTKR~XETR.XFRA.XMUN.XSTU.XBER.XDUS.XHAM.XHAN~QiD~2019-08-08T10:00:00.000000+0000~2019-08-08T14:30:00.000000+0000|

AAPL US~BTKR~XNAS.XNGS~QiD ~2019-08-07T14:33:00.000000+0000~2019-08-07T16:55:00.000000+0000|

 

Query API Definitions

 

Point-In-Time Query

 

The Point-In-Time (PIT) query is designed to provide tick prices for a specific timestamp. A date and time  to microsecond resolution where a series of market prices are provided. See Output section.

Input:

The input structure requires the StartDateTime (no EndDateTime is required or used).

VOD LN~BTKR~XLON.TRQX.CHIX~QiD~2018-03-20T14:17:00.000000+0000~

Output:

The returned price data will be at or near the indicated time on the specified date.  All inputs are echoed back in the results.

 

  • Bid/Ask quote and mid and spread price, only regular quotes within market-open time ranges are eligible. If the requested time is pre-market the selected quote will be after the opening trade. If the requested quote is post-market the selected quote will the last quote prior to the closing print
  • Bid & Ask Prices +/- 1 second and 5 second from the input date’s timestamp (PIT)
  • Last trade (tick) price relative to the input date’s timestamp (PIT)
  • Next trade (tick) price nearest to the input date’s timestamp (PIT)
  • Trade prices (forward mark-outs) at 5 minute, 15 minute and 30 minutes from the input date’s timestamp. These will be to the nearest time mark relative to the security’s input timestamp.
  • 30-day lookback of average remaining volume – the per-day average volume starting from the time indicated PIT to end of day
  • Market-specific sale and quote conditions of the respective market/exchange

Eligible trade and quote prices are based sale conditions (trade types) – only regular trades between the opening and closing prints are included in any returned tick prices and computed values

 

Interval Query

The Interval query is designed to provide market prices within the specified interval – the starting and ending date and time.

Input:

The input structure requires the StartDateTime and EndDateTime, both are mandatory input fields.

 

 

VOD LN~BTKR~XLON.TRQX.CHIX~QiD~2019-01-07T09:33:00.000000+0000~2019-01-07T10:15:00.000000+0000|

DANSKE DC~BTKR~XCSE.CHIX~QiD ~2019-08-08T10:00:00.000000+0000~2019-08-08T14:00:00.000000+0000|

HKSAV FH~BTKR~XHEL.TRQX.CHIX~QiD~ 2019-01-07T09:45:00.000000+0000~2019-01-07T10:45:00.000000+0000|

SIE GY~BTKR~XETR.XFRA.XMUN.XSTU.XBER.XDUS.XHAM.XHAN~QiD~2019-08-08T10:00:00.000000+0000~2019-08-08T14:30:00.000000+0000|

AAPL US~BTKR~XNAS.XNGS~QiD ~2019-08-07T14:33:00.000000+0000~2019-08-07T16:55:00.000000+0000|

 

Output:

The returned price data will be within the time interval on the specified dates.  

  •  Average (quote) spread for the interval, only regular quotes within market-open time ranges are eligible. If the requested time is pre-market the selected quote will be after the opening trade. If the requested quote is post-market the selected quote will the last quote prior to the closing print
  • Interval traded volume & trade count
  • Interval trade price volatility, note: the interval volatility is computed as on returns of 1min VWAP – for a minimum population sample as a defined set time interval ($VOL_SETSIZE)
  • Interval VWAP
  • Interval TWAP
  • Interval OHLC

Eligible trade and quote prices are based sale conditions (trade types) – only regular trades between the opening and closing prints are included in any returned tick prices and computed values

Recent additions is to include auctions if the starting interval is pre-market

 

 

 

 

 

 

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