Most TCA false due to input data, says GreySpark

Transaction cost analysis results vary dramatically, depending on the data source and input used by the analytics provider

Measure by measure: "GreySpark analysis shows the data source can make a tremendous difference to TCA outcomes" – Trends in e-FX Trading in 2017

Buy-side firms are getting a false picture of their execution quality if the transaction cost analysis (TCA) provider they use relies on a single or limited number of data sources to define the mid-rate, which, according to financial consultancy GreySpark, most providers do.

While the debate surrounding best execution and TCA has mainly focused on methodology, little attention has been paid to the data inputs used by various providers to calculate results, which can differ dramatically, dependi