Thought Leadership

Analytics in Action: Open Technology (API) Use Case

Data Mining Historical Blocks for Liquidity Trends

Block Volume API is the latest release on Virtu’s Open Technology platform, designed to integrate data-driven analytics into your execution processes.

Using your preferred programming language, use a simple call to retrieve historical block liquidity and associated bid/ask spreads for a single security or trade lists.

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2Q 2021
Equity and FX Global Cost Review

See the full breakdown within the 2Q 2021 Equity and FX Global Cost Reviews.
FX costs are measured as the spread costs of executions against the quoted market mid-price at the time of execution. Equity Implementation Shortfall costs are defined as the weighted average execution price vs. order arrival price.

AUGUST 23 , 2021

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Read the full FX report >

July 2021
Global Equities
Market Structure Monthly

AUGUST 23 , 2021

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Read the full EMEA report >

Read the full US report >

Read the full APAC report >

July 2021
Global FX
Market Structure Monthly

AUGUST 23 , 2021

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June 2021
Global FX
Market Structure Monthly

July 30, 2021

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May 2021
Global FX
Market Structure Monthly

June 28, 2021

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Desk Notes

Unpredictable Liquidity
The pitfalls of relying on historical averages to make routing decisions

In the US equity market, liquidity can be unpredictable across venues. Though venues’ market share over time, in aggregate, appear to be stable, on an individual stock basis, there may be episodic events that result in volume distributions across venues that differ greatly from historical averages.

Read the note >

April 2021
Global FX
Market Structure Monthly

June 11, 2021

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FX Agency Cost Estimator
Supporting trade horizon decisions for schedule-based FX algos

In this paper, we review TWAP and other strategy-based analytics available via Virtu Analytics’ FX Cost Curves. Using the tool, a trader only needs to provide a single parameter that quantifies the level of volatility-risk sensitivity, and an optimal trading horizon can be obtained from the cost and risk profiles contained within the new FX Agency Cost Estimator (ACE) model.

Read the paper >

1Q 2021 Global Cost Review
Trading costs in the Americas decline, bringing global aggregate costs back to pre-pandemic levels

MAY 21 , 2020

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1Q 2021 Nordic Cost Review
Aggregate trading costs in the Nordic region remain flat QoQ, with cost decreases in Sweden and Norway offsetting increases in other markets.

MAY 21 , 2020

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February 2021
Global FX
Market Structure Monthly

May 3, 2021

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Big Data Analytics Utilities

Open Technology (API) Use Case
Forecast MOC Trading Costs for Projected Fund Growth

The Auction Market Impact API is the latest release on Virtu’s Open Technology platform and was created to help you integrate value-add analytics within your in-house processes and workflows. Using your programming language of choice, subscribers can leverage Auction Market Impact to help estimate the cost of trading in the open or closing auctions.

Explore the use case >

February 2021
Global Equities
Market Structure Monthly

FEBRUARY 23, 2021

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Read the full US report >

Read the full APAC report >

February 2021
Global FX
Market Structure Monthly

FEBRUARY 23, 2021

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European Market Landscape
In 2020, participants reacted to abnormal volatility by utilizing more risk-averse algorithm strategies, was it the optimal choice?

Three years post-MiFID II implementation, we examine how algorithm and venue usage has changed and stabilized in Europe. As traders dealt with the COVID-19 pandemic induced volatility, more scheduled-based algorithm strategies were selected—but was it the optimal choice? 

Read the paper >

January 2021
Global Equities
Market Structure Monthly

FEBRUARY 23, 2021

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Read the full EMEA report >

Read the full US report >

Read the full APAC report >

January 2021
Global FX
Market Structure Monthly

FEBRUARY 23, 2021

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Special Report
Evolution of the Canadian Venture Market in 2020

Amid a record-setting year for Canadian equity volumes, securities listed on exchanges other than the Toronto Stock Exchange experienced the most rapid growth and underwent a transformation that appears to be driven by retail behavior.

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4Q20 Nordics Cost Review
Aggregate equity trading costs in the Nordic region continued to fall in Q4, having peaked in the first quarter of 2020. Lower trading costs and commission rates were seen in all countries, except for Norway.

FEBRUARY 23, 2021

Implementation shortfall (IS) trading costs fell by 8% on average to 40.7bps in the Nordic region—the lowest level since 4Q 2019—and below UK costs (54bps), but higher than Europe ex-UK costs (38bps). Also, there was a 10% decrease in average commission rates ( 4.3bps), the lowest level seen so far in the region.

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4Q20 FX Global Cost Review
Realised costs for both spot and forwards trending down from 1Q 2020 highs

FEBRUARY 11, 2020

Q4 forward spreads remained steady against Q3. Spot widened slightly due to increased volatility from US elections, EU-UK trade negotiations and a return to Covid lockdowns. But still held below Q1 and Q2 figures.

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4Q20 Equities Global Cost Review
Aggregate global trading costs decrease as spread and volatility settle in at new post-peak levels

FEBRUARY 11, 2020

US volatility and spreads increased over the quarter, reversing the downward trend from March highs and raising the global aggregate. Implementation shortfall costs from more than 180 institutional investors shows that costs in the US increased 12% in the quarter and global costs increased 6% to 43bps. The high cost of trading Tesla stock added to the aggregate US costs. Still, US and global costs remain lower than observed in 1Q and 2Q 2020.

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December 2020
Global FX
Market Structure Monthly

JANUARY 26, 2021

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December 2020
Global Equities
Market Structure Monthly

JANUARY 26, 2021

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Read the full APAC report >

Virtu Analytics
Observable Year-End Market Trends

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November 2020
Global FX
Market Structure Monthly

DECEMBER 18, 2020

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November 2020
Global Equities
Market Structure Monthly

DECEMBER 18, 2020

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Read the full EMEA report >

Read the full US report >

Read the full APAC report >

3Q20 FX Global Cost Review
Realised costs for both spot and forwards trending down from 1Q 2020 highs

DECEMBER 2, 2020

Realised costs (client paid spreads) for both spot and forwards have continued to come down from 1Q 2020highs brought about by the Covid-19 pandemic. Market spreads remain high, however Virtu’s FX Global Peer Group database participants are paying just over half the market spread on average. Spot costs have been very competitive, whereas forward realised costs were only 0.1 basis point above pre-pandemic levels.

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3Q20 Equities Global Cost Review
Aggregate global trading costs decrease as spread and volatility settle in at new post-peak levels

DECEMBER 2, 2020

Global volatility and spreads stabilized in Q3, bringing IS costs down from previous highs. However, trading costs remain higher than pre-pandemic levels. Implementation Shortfall costs (weighted average execution price vs. order arrival price) from more than 180 institutional investors shows that global costs decreased 10% to 40bps, and costs in the US decreased 13%, seen throughout the capitalization range.

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October 2020
Global FX
Market Structure Monthly

DECEMBER 1, 2020

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October 2020
Global Equities
Market Structure Monthly

DECEMBER 1, 2020

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Read the full APAC report >

2020
Annual Commission and Research Survey Results

160+ buy-side respondents across the Americas, Asia and EMEA share their views on research, MiFID II, unbundling, execution and Covid-19.

Request the survey >

September 2020
Global FX
Market Structure Monthly

OCTOBER 20, 2020

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September 2020
Global Equities
Market Structure Monthly

OCTOBER 12, 2020

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Conditional Routing— What You Should Ask Your Brokers

The conditional order type is a useful and popular tool for seeking block liquidity while also helping to reduce execution costs and the associated potential for information leakage. Despite the order type’s widespread adoption, the conditional order ecosystem is often misunderstood.

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August 2020
Global Equities
Market Structure Monthly

AUGUST 26, 2020

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Read the full EMEA report >

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2020 Fair Value Trigger Survey Results
Providing Insights into Industry Triggering Practices

SEPTEMBER 25, 2020

Launched in 2009, Virtu’s Fair Value Trigger survey was created in response to client demand for meaningful industry triggering data and continues to evolve by quantifying changes within the industry. Insight into how fellow asset managers approach triggering provides a competitive edge not found elsewhere—an especially valuable input as firms look to balance factors such as valuation accuracy versus operational burden.

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Virtu Content Watch Series:
Market Close Watch

An all-new interactive infographic that completely transforms how you view the global market close auctions. Combine what you see by region or date.

Explore now >

2Q20 FX Global Cost Review
Forward point volatility persisted into Q2 as a result of the pandemic, keeping market spreads high

SEPTEMBER 14, 2020

The high volatility and spreads associated with the Coronavirus pandemic continued into the beginning of Q2, with some regions experiencing cost relief during the quarter while others continued to see higher costs. Transaction costs from more than 180 institutional investors shows that global IS costs decreased 8% to 46 bps, and costs in the US decreased 10%, primarily driven by the reduced cost of trading mid and small cap equities. By comparison, IS costs in Asia Pacific ex Japan increased by 3% to 45 bps and Europe ex UK costs increased 9% to 50 bps.

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2Q20 Equities Global Cost Review
Aggregate global trading costs mixed as Coronavirus pandemic’s high market volatility and spreads level off in early Q2

SEPTEMBER 14, 2020

The high volatility and spreads associated with the Coronavirus pandemic continued into the beginning of Q2, with some regions experiencing cost relief during the quarter while others continued to see higher costs. Transaction costs from more than 180 institutional investors shows that global IS costs decreased 8% to 46 bps, and costs in the US decreased 10%, primarily driven by the reduced cost of trading mid and small cap equities. By comparison, IS costs in Asia Pacific ex Japan increased by 3% to 45 bps and Europe ex UK costs increased 9% to 50 bps.

Read the full report >

2Q20 Nordics Cost Review
Nordic trading costs decreased as
pandemic-induced high market volatility and
spreads level off in early Q2

SEPTEMBER 14, 2020

High volatility and spreads associated with the pandemic eased off in Q2, with all Nordic countries experiencing cost relief except for Sweden during the quarter. Implementation Shortfall costs (weighted average execution price vs. order arrival price) from more than 180 institutional investors shows that Nordic costs decreased 22% to 45 bps compared to the 8% decrease observed in the aggregate Global Peer database.

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Systematic Internalisers in Volatile Markets
The volatility experienced during the first half of 2020 prompted changes to the way algorithms interacted with various liquidity sources

SEPTEMBER 7, 2020

In Europe, one liquidity source available to algorithms are Systematic Internalisers (SI). In this paper, we examine how SI operators adjusted their liquidity provision over the volatile period, and how Virtu’s Frontier execution algorithms adapted their interactions.

Read more >

July 2020
Global Equities
Market Structure Monthly

AUGUST 26, 2020

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June 2020
Global Equities
Market Structure Monthly

AUGUST 10, 2020

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Read the full EMEA report >

Read the full US report >

May 2020
Global Equities
Market Structure Monthly

JUNE 12, 2020

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Read the full EMEA report >

Read the full US report >

FX Algorithms
A useful addition to your execution toolkit

MAY 27, 2020

Virtu’s proprietary FX transaction cost data (TCA) was used to examine the suitability of FX algos
versus competitive bids.

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April 2020
US Market Structure Monthly

MAY 26, 2020

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1Q20 Global Cost Review
Aggregate global trading costs increase sharply as volatility and spreads surge

APRIL 27, 2020

Transaction cost data from more than 180 institutional investors shows that global IS costs increased 45% to 52bps, and US costs increased42%to 48bps. Costs in all regions increased due to the volatility associated with the CoronavirusPandemic, reaching levels not seen since the Global Financial Crisis of 2008.

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March 2020
Us and Canada Market Structure Monthly

APRIL 14, 2020

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4Q19 Global Cost Review
Aggregate global and US equity trading costs increase following three quarters of decline

MARCH 5, 2020

Transaction cost data from more than 180 institutional investors shows that global IS costs increased 8% to 36bps, and US costs increased 12% to 33bps. Increased costs in the US offset declines in Europe and developed Asian Markets.

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