Virtu Financial launches new pre-trade analytics tool
Provider of trading technology and liquidity Virtu Financial Inc (NASDAQ:VIRT) keeps expanding its multi-asset transaction cost model offering. Today, the company announces the launch of Fixed Income Agency Cost Estimator (FI ACE), a pre-trade analytics tool designed to provide transparency and measurement of liquidity and transaction costs in fixed income markets.
FI ACE provides a proprietary pre-trade liquidity model that helps confirm execution decision making, assists in liquidity management and helps document best execution in connection with regulatory obligations.
FI ACE cost estimates leverage Virtu’s Global Peer database for Fixed Income (GPFI) which contains aggregated proprietary trade information submitted by Virtu’s fixed income TCA clients. As of October 2020, FI ACE covers around 37,500 North American and 25,000 international corporate and agency bonds, 4,000 European sovereign bonds as well as around 450 US Treasury instruments.
Examples of possible applications of FI ACE include:
- Liquidity risk management / regulatory compliance: Used as a tool to help meet certain regulatory requirements (e.g., SEC rule 22e-4) and can accommodate the prudent valuation standards of the European Banking Authority (EBA) which call for calculating exit prices of portfolio positions assuming a fixed liquidation horizon
- Liquidity scoring for individual bonds : FI ACE provides a supplementary liquidity score for each bond to help facilitate the liquidity comparison across bonds
- Cost-aware portfolio construction: FI ACE estimates can add the much needed liquidity component to a set of portfolio characteristics. Security-specific market impact estimates can be utilized in portfolio rebalancing decisions
- Provide analytics to support program trading: FI ACE can be used to facilitate the decision making around agency and principal trades executed by program desk traders. In agency trades, a program trading desk possessing only generic knowledge about the basket can use FI ACE to determine a fair price of the basket accounting for market impact and volatility exposure
- Benchmark trading performance in TCA: FI ACE can be used as a handicap measure to analyze the client’s execution performance at trade or parent order level.
FI ACE estimates as well as liquidity scores are currently available in comma-separated flat files via ftp or accessible via Virtu’s Open Technology APIs.