No. of Recommendations: 7
Interactive Brokers has a detailed transaction cost analysis (TCA) which provides a lot of information about trades.
Has anyone looked at it and have recommendations for interpreting?
Friction is important to minimize especially if one is actively trading screens.
Back in the day we spent a lot of time, for example, trying to evaluate FolioFN transaction costs.
See for example
http://www.datahelper.com/mi/search.phtml?nofool=y...Here is a top level example IB TCA for some of my recent trades.
These trades were all done using basket trader with the MidPrice algo.
https://1drv.ms/i/s!AmCzJdeikH-ciop2bheJHAmsW9R5Ng...They report price improvement in basis points versus various standards - order arrival time, later times, close, and several VWAP references.
Seems to me the most useful one to estimate actual friction is the "vs VWAP" column.
This means, as I understand, the execution price vs the VWAP (volume weighted average price) from the time the order was submitted to when it was executed.
In the case of the above trades, the figure is (0.108) basis points or a loss of 0.108% average per trade.
Commissions using IB Pro fixed tier seem to be around 0.08% on average.
Would it be reasonable to use 0.108%+0.08% = 0.19% as an estimate of one-way friction?
Rounding to 0.2%, this would correspond to using 0.4% friction in GTR1, as GTR1 applies all the friction to sales IIRC.
Just wondering if this is a reasonable way to estimate real-world friction or if there's a better way.
Mark
