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A transaction cost analysis (TCA) reporting engine calculates the cost of doing a trade and then reports on this either individually or in aggregate. The reports may be organized according to categories such as broker or portfolio.
Historically, TCA was reported with a significant lag, such as monthly, and calculated using only the difference between the trades of a given broker and the volume-weighted average price of the desk’s transactions. The development of new AI models now allows for the inclusion of more variables and rapid calculation. TCA reporting engines now provide real-time pre-trade and post-trade analytics and broker-choice algorithms.