Transaction Cost Analysis

Estimate and analyze transaction costs using Aybot data and models.

Model Transaction Costs

Use Trading Toolbox to model and estimate:

  • Instantaneous trading costs

  • Single-order market impact costs

  • Market impact cost curves by security or portfolio

  • Price appreciation costs

  • Timing risk costs

  • Liquidation costs

Optimize Trade Execution

Optimize and perform sensitivity analysis on your trade execution strategies.

Perform Post-Trade Analysis

Evaluate the performance of trade execution strategies and attribute trading costs. Supported post-trade metrics include:

  • Implementation shortfall

  • Alpha capture                

  • Benchmark costs

  • Broker value add

  • Z-score

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