TORA, provider of a cloud-based order and execution management system (OEMS), has announced the launch of its artificial intelligence (AI)-driven pre-trade transaction cost analysis (TCA) solution to help firms meet the stricter best execution requirements imposed by MiFID II.
TORA's new AI TCA product uses AI techniques to estimate price slippage for trades before they enter the market. The addition of the pre-trade TCA product to the TORA OEMS can help traders to monitor costs across the lifecycle of a trade and improve investment decision making.
Utilizing a library of historical global market data, the new
pre-trade TCA solution examines the core attributes of orders
such as spread, volatility and volume consumption and estimates
the market impact of using any broker and algo combination to
help traders determine the optimal place to send their orders.
"This TCA solution is built upon a convolutional neural network that is trained using real time and historical data. Machine learning algorithms are used to continuously capture new order data as it becomes available. Through this feedback mechanism the network weights are adapted to reflect the additional information and thus increase the estimation precision over time", said Pascal Kuyten from the TORA quantitative research group.