Class TransactionCostAnalyzer

java.lang.Object

com.quantfinlib.microstructure.TransactionCostAnalyzer

public final class TransactionCostAnalyzer
extends Object

Transaction Cost Analysis: benchmarks matched trades against the arrival mid, the interval market VWAP, and the prevailing mid at each fill (effective spread). All costs are signed so positive = cost to the trader, for both buys and sells.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	TransactionCostAnalyzer.TcaReport

Method Summary

Modifier and Type	Method	Description
static TransactionCostAnalyzer.TcaReport	analyze(List<Execution> fills, double arrivalMid, double marketVwap, double[] midAtFill)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

analyze

public static TransactionCostAnalyzer.TcaReport analyze(List<Execution> fills,
 double arrivalMid,
 double marketVwap,
 double[] midAtFill)

Parameters:

fills - the child fills of one parent order (all same side)

arrivalMid - market mid when the parent order was created

marketVwap - market VWAP over the execution interval (or a synthetic forward benchmark for FX forwards/swaps)

midAtFill - prevailing mid at each fill, aligned with fills