Algorithmic Trading Methods, 2nd Edition

Chapter 20: TCA Analysis Using MATLAB, Excel, and Python

Introduction

In this chapter we describe a custom transaction cost analysis (TCA) process that can be employed by financial professional to manage trading costs throughout all phases of the investment cycle. This process will allow financial professionals to perform TCA on their own desktop without the need to access a broker-dealer or third-party server or API. The advantage of this process is that it provides investors with an independent analytical tool and it allows investors to eliminate all possibility of information leakage stemming from accessing outside systems and data because all analyses are performed on the investors own desktop without needing to access any outside ...