Within the API suite we are pleased to add new models that calculate the Efficient Trading Frontier for a given transaction and an Estimated Market Impact model. These models can be run pre-trade in order to better inform traders of market conditions before execution, and post-trade to judge the efficiency of an execution strategy. This is a significant step away from naïve spread modelling as prevailing volatility and drift conditions are considered in these new models.
Clients can call the following data and calculations from the API suite:
NCFX Data APIs support multiple currency pair requests for:
- Last Rate (single price per currency pair and time)
- Timeseries (tick data between two points)
- OHLC (Open High Low Close, supports intervals in months, days, hours, minutes, seconds)
- TWAP (Time Weighted Average Price)
NCFX Calculation APIs allow clients to measure and analyse live trading performance by integrating in-flight TCA and powering real-time trade control functions such as outlier detection. Calculations supported include:
- Implementation Shortfall
- Decay (both pre- and post-trade)
- Market Impact
NCFX Model APIs run proprietary pre-trade and post-trade analytics to identify the optimal trading trajectory and efficient price for a given currency pair, amount, trade start time and end time.
- Efficient Trading Frontier model identifies the unique trading trajectory that minimises market impact for the risk taken given a defined trading time horizon.
- Estimated Market Impact model summarizes the Efficient Trading Frontier trajectory into the components of estimated market impact in USD terms.
These models allow clients to forecast the effects of trading and to adjust their execution strategy to trade more efficiently.
Delivery of these calculations via API means that clients can embed the calculations in any system.
NCFX is a regulated benchmark administrator, authorised by the FCA under ESMA rules. As such we are unique in the TCA world, providing independent data that complies with MiFID 2 standards for TCA. In calculating TCA, and in particular when calculating market impact costs, the absence of independent data from the calculation compromises the accuracy of the calculation. All NCFX TCA and related calculations are driven by independent data that means calculations are robust, and brokers can be compared against the same standard.