TCA & BestEx

Table Of Contents

• Arrival ask / bid / mid prices for an order
• Effective spread
• Effective to quoted spread (ETQ)
• Exit ask/bid prices for an order
• FT (far touch) and NT (near touch)
• Implementation shortfall (slippage)
• Market impact
• Interval Metrics (e.g., VWAP)
• Notional spread (quoted spread)
• Number spreads
• Offside value
• Opportunity cost
• Price improvement
• Participation weighted price (PWP)
• Relative Performance Measure (RPM)
• Reversion
• Right way
• Takeout success
• Volatility
• Window ask and window bid
• Windowed FT (far touch) and Windowed NT (far touch)