The evolving role of transaction cost analysis in equity futures trading
When it comes to TCA for equity futures trading, how does this differ from other asset classes?
Equity futures TCA has many similarities with other asset classes but there are also some key differences. Within equity futures, there is a centralised exchange, deep order books and excellent liquidity in most contracts. Unlike equities, there is no fragmentation across multiple venues and price transparency is less of an issue compared to some other asset classes or instruments. The futures market also engages in rolls which is uniquely measured from a TCA perspective. Pre-trade, market impact and peer models are not as common and can be less detailed compared to equities and this is an area which…
