At Cuemacro, we’ve been developing a FX TCA (transaction cost analysis) Python library over the past year. We are hoping to open source parts of the library, provided we can find sponsorship for the TCA library. By open sourcing the basic framework of the library, we hope we can unlock the benefits of crowdsourcing from community to…
Category: TCA
Foreign Exchange, General, Python, TCA
What I’ve learnt from developing a FX TCA library?
by Saeed Amen •
Reading is a great way to learn. However, it’s the practice of that knowledge which is a key part of the process. For example, you can read a lot about an area in mathematics, but it’s only once you’ve sat there for hours struggling to solve some problems that you begin to understand it. It’s…
Data, Foreign Exchange, Python, TCA
Why create an open source FX TCA library?
by Saeed Amen •
The idea of transaction cost analysis (TCA) has been around for years. As the name suggests, it is analysis that can be done to understand how much you are paying for your trading. At its simplest level, it can involve calculating the slippage between the market mid and your executed price. If we are doing FX…
Events, Foreign Exchange, TCA
Review of TradeTech FX USA 2018
by Saeed Amen •
Markets only go up, right? Well, equity markets, in any case. February proved that perhaps this isn’t that case. However, whilst equity cash and vol markets were rattled, the effects on FX more broadly, were relatively tepid. The USD did strengthen, but only modestly, and since then most of those gains have reversed. Against that backdrop,…