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Transaction Cost Analytics Library

Transaction Cost Analytics Library contains the Functionality to: * Centralized Limit Order Book Manager * Standardized Execution Scheduling Strategies * Estimate single Trade/Portfolio Execution Cost * Construct Optimal Trajectories * Order Management and Routing

Documentation

Document Link
Technical Specification Latest Previous
User Guide
API Javadoc

Component Projects

  • Execution => Optimal Impact/Capture Based Trading Trajectories - Deterministic, Stochastic, Static, and Dynamic.

Coverage

  • Order
    • Overview
    • Market Order
    • Limit Order
    • Time in Force
    • Conditional Orders
      • Stop Orders
        • Sell-stop Orders
        • Buy-stop Orders
        • Stop-limit Orders
        • Trailing Stop Order
        • Trailing Stop-limit Order
      • Peg Order
        • Peg Best
        • Mid-price Peg
      • Market-if-touched Order
      • One Cancels Other Orders
      • One Sends Other Orders
      • Tick-sensitive Orders
      • At the Opening
    • Discretionary Order
    • Bracket
    • Quantity and Display Instructions
    • Electronic Markets
    • References
  • Time-in-Force
    • Abstract
    • What is Time-in-Force?
    • Basics of Time-in-Force
    • Types of TIF Orders
    • Example of Time-in-Force
    • Reference
  • Order State Change Matrices
    • Introduction
    • Scenario Order State Change Matrices
    • D1 Filled Order
    • D2 – Part-Filled Day Order, Done for Day
    • D3 – Cancel Request Issued for a Zero-filled Order
    • D4 – Cancel Request Issued for a Part-filled Order – Executions occur when Cancel Request is Active
    • D5 – Cancel Request issued for an Order that becomes Filled before Cancel Request can be Accepted
    • D6 – Zero-filled Order, Cancel/Replace Request issued to increase Order Quantity
    • D7 – Part-filled Order, followed by Cancel/Replace Request to increase Order Quantity, Execution occurs while Order is Pending Replace
    • D8 – Filled Order Followed by Cancel/Replace to increase Order Quantity
    • D9 – Cancel/Replace Request – Not for Quantity Change – is rejected as a Fill has Occurred
    • D10 – Cancel/Replace Request Sent while Execution is being Reported. The Requested Order Quantity exceeds the Cumulative Quantity. The Order is replaced then Filled
    • D11 – Cancel/Replace Request Sent while Order Execution is being Reported. The Requested Order Quantity equals the Cumulative Quantity. The Order Quantity is Amended to the Cumulative Quantity
    • D12 – Cancel/Replace Request Sent while Order Execution is being Reported. The Requested Order Quantity is below the Cumulative Quantity. The Order Quantity is Amended to the Cumulative Quantity
    • D13 – One Cancel/Replace Request is Issued which is Accepted. Another One is Issued which is also Accepted
    • D14 – One Cancel/Replace Request is issued which is Rejected before Order becomes Pending Replace. Then Another is issued which is Accepted
    • D15 – One Cancel/Replace Request is Issued which is Rejected after it is in Pending Replace. Then Another One is Issued which is Accepted
    • D16 – One Cancel/Replace Request is Issued Followed immediately by Another. Broker Processes Sequentially
    • D17 – One Cancel/Replace Request is issued followed immediately by Another. Broker rejects the Second as Order is Pending Replace
    • D18 – Telephoned Order
    • D19 – Unsolicited Cancel of a Part-timed Order
    • D20 – Unsolicited Replacement of a Part-filled Order
    • D21 – Unsolicited Reduction of Order Quantity by Sell-side. For example, the US ECNs Communication NASDAQ SelectNet Declines
    • D22 – Order Rejected due to Duplicate ClOrdID
    • D23 – Order Rejected because Order has already been Verbally Submitted
    • D24 – Order Status Request Rejected for Unknown Order
    • D25 – Transmitting a CMS-style “Nothing Done” in Response to a Status Request
    • D26 - Order sent, immediately followed by a status request. Subsequent Status requests sent during Life of Order
    • D27 – GTC Order Partially Filled, Restated/Renewed and Partially Filled the Following Day
    • D28 – GTC Order with a Partial Fill, a 2:1 Stock Split, then a Partial Fill and Fill the Following Day
    • D29 – GTC Order Partially Filled, Restated/Renewed, and Canceled the Following Day
    • D30 – GTC Order Partially Filled, Restated/Renewed Followed by Replace Request to increase Quantity
    • D31 – Possible Resend Order
    • D32 – Fill or Kill Order cannot be Filled
    • D33 – Immediate-Or-Cancel Order that cannot be immediately Hit
    • D34 – Filled Order, Followed by Correction and Cancelation of Executions
    • D35 – A Canceled Order Followed by a Busted Execution and a new Execution
    • D36 – GTC Order Partially Filled, Restated/Renewed, and Partially Filled the Next Day, with Corrections of Quantities on both Executions
    • D37 – Transmitting a Guarantee of Execution Prior to Execution
  • Central Limit Order Book
    • Overview
    • References
  • How Storing Supply and Demand affects Price Diffusion
    • Abstract
    • Main
    • References
  • Statistical Theory of Continuous Double Auction
    • Abstract
    • Introduction
      • Motivation
      • Background: The Continuous Double Auction
      • The Model
      • Summary of Prior Work
    • Overview of the Predictions of the Model
      • Dimensional Analysis
      • Varying the Granularity Parameter ϵ
        • Depth Profile
        • Liquidity for Market Orders: The Price Impact Function
        • Spread
        • Volatility and Price Diffusion
        • Liquidity for Limit Orders: Probability and Time-to-fill
      • Varying Tick Size ε_p/p_c
    • Theoretical Analysis
      • Summary of Analytic Methods
      • Characterizing Limit-order Books: Dual Coordinates
      • Frames and Martingales
      • Factorization Tests
      • Comments on Renormalized Diffusion
      • Master Equations and Mean-field Approximations
        • A Number Density Master Equation
        • Solution by Generating Functional
        • Screening of the Market-order Rate
        • Verifying the Conservation Laws
        • Self-consistent Parameterization
        • Accounting for Correlations
        • Generalizing the Shift-induced Source Terms
      • A Mean-field Theory of Order Separation Intervals: The Independent Interval Approximation
        • Asymptotes and Conservation Rules
        • Direct Simulation in Interval Coordinates
    • Relationship of Price Impact to Cumulative Depth
      • Moment Expansion
      • Quantiles
    • Supporting Calculations in Density Coordinates
      • Generating Functional at General Bin Width
        • Recovering the Continuum Limit for Prices
      • Cataloging Correlations
        • Getting the Intercept Right
        • Fokker-Planck Expanding Correlations
    • Concluding Remarks
      • Ongoing Work on Empirical Validation
      • Future Enhancements
      • Comparison to Standard Models Based on Valuation and Information Arrival
    • References
  • Limit Order Book Simulations: A Review
    • Abstract
    • Overview
      • Motivation
      • Contributions
    • Limit Order Books
      • Dynamics
    • Stylized Facts
    • Point Process Models
      • Poisson Process and Variants
        • Zero-intelligence Models
        • Variable Order Intensity Poisson Models
        • Discussion
      • Hawkes Process
        • Mathematical Overview
        • n-dimensional Hawkes Process
        • Constrained Hawkes Process
        • Other Variants
        • Scaling Limits
        • Non-linear Hawkes Process
        • Neural Hawkes Process
        • Discussion
    • Agent Based Models
      • Recent Work
      • Combining ABMs with Other Methods
      • Discussion
    • Deep Learning Based Models
      • Mid-price Prediction from LOB
      • Recurrent Neural Networks
      • Generative Networks
      • Large Kanguage Models
      • Discussion
    • Stochastic Differential Equations Based Models
      • Continuous Limits of Point Process Models
      • Volume of Orders as a Stochastic Process
      • Probabilistic Properties under Scaling Limits
      • Connecting various Timescales
      • Discussion
    • Responsiveness to Trades: Market Impact
      • Introduction
      • Zero-intelligence Models
      • Poisson Process
      • Hawkes Process
      • Agent-based Process
      • Stochastic PDEs basec Models Deep Learning based Models
    • Comparative Study
      • Poisson
      • Hawkes
      • Hawkes and Deep Learning
      • Agent-based Model
      • Deep Learning
      • Agent-based Model, Hawkes, and Deep Learning
      • Stochastic Partial Differential Equation
    • Conclusion and Future Work
    • References
  • Inverted Price Venues
    • Reference
  • Auction On-Demand
    • Efficient Trading with On-demand Auctions
    • Highlights
    • Features
    • Safety Features
    • Auction Overview
    • Order Types
    • References
  • Volume-weighted Average Price
    • Overview
    • Formula
    • Using VWAP
    • References
  • Execution Cost and Transaction Trajectories
    • Motivation and Practice Overview
    • Post Trade Reporting
    • Optimal Trading
    • Pre Trade Cost Estimation
    • References
  • Execution of Portfolio Transactions - Optimal Trajectory
    • Overview, Scope, and Key Results
    • Motivation, Background, and Synopsys
    • Definition of a Trading STrategy
    • Price Dynamics
    • Temporary Market Impact
    • Capture and Cost of Trading Trajectories
    • Linear Impact Functions
    • The Efficient Frontier of Optimal Execution
    • The Definition of the Frontier
    • Explicit Construction of Optimal Strategies
    • The Half-Life of the Trade
    • The Structure of the Frontier
    • The Utility Function
    • Value-at-Risk
    • The Role of Utility in Execution
    • Choice of Parameters
    • The Value of Information
    • Drift
    • Gain Due to Drift
    • Serial Correlation
    • Parameter Shifts
    • Conclusions and Further Extensions
    • Numerical Optimal Trajectory Generation
    • References
  • Non Linear Impact and Trading Enhanced Risk
    • Abstract
    • Introduction
    • The Model
    • Non Linear Cost Functions
    • Objective Functions
    • Almgren (2003) Example
    • Trading Enhanced Risk
    • Constant Enhanced Risk
    • Linear Enhanced Risk
    • Almgren (2003) Non Linear Example Sample
    • Conclusions: Summary and Extensions
    • References
  • Market Impact Function/Parameters Estimation
    • Introduction, Overview, and Background
    • Data Description and Filtering Rules
    • Data Model Variables
    • Trajectory Cost Model
    • Permanent Impact
    • Temporary Impact
    • Choice of the Functional Form
    • Cross Sectional Description
    • Model Determination
    • Determination of the Coefficients
    • Residual Analysis
    • References
  • Optimal Execution of Program Trades
    • Introduction
    • Efficient Frontier Pricing of Program Trades
    • The Efficient Frontier Including Discount
    • Performance Measures
    • Annualization
    • Definition of the Information Ratio
    • Application of the Information Ratio
    • References
  • Bayesian Trading with a Daily Trend
    • Overview, Motivation, and Synopsys
    • Introduction and the Associated Literature
    • Price Model Using Bayesian Update
    • Bayesian Inference
    • Trading and Price Impact
    • Optimal Trading Strategies
    • Trajectory by the Calculus of Variations
    • Optimality of the Bayesian Adaptive Strategy
    • Stochastic Optimal Control Treatment
    • References
  • Cost Adaptive Arrival Price Trading
    • Synopsys and Key Results
    • Introduction, Background, and Motivation
    • Adaptive Strategies - A Simple Illustration
    • Trading in Practice
    • Other Adaptive Strategies
    • The Market Model
    • Static Trajectories
    • Non Dimensionalization
    • Small Portfolio Limit
    • Portfolio Size Comparison
    • Single Update
    • Single Update Mean and Variance
    • Almgren and Lorenz (2007) Results
    • Continuous Response
    • Continuous Response Numerical Results
    • Discussion and Conclusions
    • References
  • Mean Variance Optimal Adaptive Execution
    • Background, Synposys, and Key Results
    • References
  • Optimal Trading in a Dynamic Market
    • Introduction, Overview, and Motivation
    • Limitations of Arrival Price Frameworks
    • The Liquidation Problem
    • Cost of Trading
    • Constant Coefficients
    • Coordinated Variation
    • Rolling Time Horizon Approximate Strategy
    • Small Impact Approximation
    • Dynamic Programming - Fully Coordinated Version
    • Log Normal and Non Dimensionalization
    • Constant Market
    • Long Time
    • Dynamic Programming - Custom \epsilon (t) and \sigma (t)
    • Log Normal Model
    • Coordinated Variation Model
    • Asymptotic Behavior
    • Numerical Solution
    • Time Discretization
    • Space Discretization
    • Almgren (2009, 2012) Sample Solutions
    • References
  • Smart Order Routing
    • Overview
    • Benefits and Disadvantages of Smart Order Routing
    • Brief Concept
    • Algorithmic Trading and SOR
    • Cross-Border Routing
    • References
  • NAGAR - Algos and Smart Order Router
    • Introduction
    • Summary of the Algos Logic
    • Algorithms and Routing Logic
    • Ping Execution Mode
    • Sweep Execution Mode
    • Exchange Post Execution Mode
    • Dark Post Execution Mode
    • Venue Selection
    • Accessible Venues
    • Order Types Used
    • Order Handling Scenarios to Consider
    • Router Customization Options
    • Directed Orders via PATH
    • Exchange Market Data
    • Non-exchange Market Data
    • Performance Evaluation of Algos
    • Information Leakage Prevention and Anti-gaming Protection
    • Capital Commitment Features
  • Retail SOR Strategy Builder
    • Retail SOR Wave Instructions
    • Phase-based Conditional Action
    • Additional Considerations
    • Continuous Trading Scenario Overview
  • Indifference Price
    • Overview
    • Mathematics
    • Example
    • Notes
    • Reference
  • Order Placement in Limit Order Markets
    • Overview
    • Introduction
    • The Order Placement Problem
      • Assumptions
      • Proposition 1
      • Proposition 2
    • Choice of Order Type: Limit Orders vs Market Orders
      • Proposition 3 – Single Exchange: Optimal Split between Limit and Market Orders
    • Optimal Routing of Limit Orders across Multiple Exchanges
      • Proposition 4
      • Proposition 4 Corollary
      • Example
    • Numerical Solution to the Optimization Problem
    • Conclusion
    • References
  • Seven Execution Algorithms
    • Instruction
    • Why are Algorithmic Strategies Used
    • References
  • Liquidity Seeker Trading Strategy
    • Introduction
    • The Algo Engine
    • The Trading Strategies (Algos)
    • Trading Logic Components
      • Algo
      • Scheduler
      • Worker
      • Routers
    • Life-cycle of an Order
      • Order Arrival
      • Wakeup Logic
      • Interval Logic
      • Order Amendment
    • Trading Objectives / Design Process
      • Low Level
      • High Level
      • Elegance and Simplicity
    • References
  • A Volume-Weighted Average Approach
    • Introduction
    • Defining the Prediction Problem
    • Predicting Cumulative Relative Volume with Real-time Data
    • Extension to Partial Trading Days
  • Systemic Market Making SKU
    • Symbology
    • Glossary
    • Width/Skew/Size Estimation Models
    • Market Making System SKU
    • Market Making Parameter Types
    • Intra-day Pricing Curve Generation Schemes
    • Mid-Price Models
    • Width Models
    • Skew Models
    • Size Models
    • Heuristics Control
    • Published Market Quote Picture
    • Flow Analysis
  • Corporate Bond Auto-Responder (CBAR)
    • Summary
    • Reference Data
    • Flow Diagram - Client RFQ Data
    • Streaming Flow
    • Algorithm Operational Logic Description
    • Algorithm Processing Logic Operating Detail – RFQ Quoting
    • Algorithm Processing Logic Operating Detail - Streaming
    • Auto-Execution of Streamed Levels
    • Inputs
    • Outputs
    • Benchmarks
    • Market Phases
    • Algorithm Operating Constraints
    • Model Use Constraints
    • Operational Risk
    • Level Validation Checks for Algo Levels on Bonds Marked in Spread or Yield
    • Level Validation Checks on Algo Levels for Bonds Marked in Price
    • Level Validation Checks for Outgoing Streamed Prices
    • Reputational Risk
    • Market Risk
    • Sample Risk/Notional Controls for an IG Desk
    • Typical Risk/Notional Controls for HY Desk
    • Risk/Notional Controls
    • Volatility Controls
  • Corporate Bond Skewer
    • Major Components
    • Maximum Auto-responder Sizes
    • Waterfalls
    • Skewing Flow

DROP Specifications