I have heard that ITG, LiquidMetrix, MarkIT and TradingScreen has good Transaction Cost Analysis (TCA) research. I wonder which firm one would choose to have an impact model formula inside his simulations (that is to optimize traded portfolio size).

There are two ways to achive this:

  • find a firm which discloses their complete impact model
  • find a firm which provides a detailed simulator including the impact models

Open for suggestions for both options.



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