Trade Cost Analysis
Transaction Cost Analysis (TCA) Service of InfoReach TMS

InfoReach Second Opinion™ Real-Time TCA Service

Improve execution quality, optimize trading strategies and reduce transaction costs with enhanced, interactive analytics

InfoReach Second Opinion™ is an interactive, enhanced transaction cost analysis (TCA) service that can help you improve operational efficiency and performance in trading. It provides real-time, pre-trade, at-trade and post-trade analytics that factor in virtually all of the variables that can affect trade outcomes-including each particular day's volume, volatility and market trends. Its interactive format helps traders choose the best strategy at any point in time, in any market, under any condition, and allows them to adjust execution strategies even at the point of trade. 

Second Opinion also monitors real-time markets as well as the progress of each trader's intended execution and informs the trader of any changes in pre-trade assessments. Based on market conditions, it re-estimates all projections and updates the trader every 15 minutes-enabling the trader to adjust the course of trade execution based on what the market is actually doing that moment. 

Clearly above and beyond the traditional TCA program, Second Opinion is a next-generation tool that can help trading firms maintain competitive positioning and achieve superior performance. Read on to learn how your firm can benefit from adding this service to your trading arsenal.

An open and secure service that integrates easily to improve trading efficiency

Second Opinion is available through the InfoReach Trade Management System (TMS) or via API as an independent service. Its open platform integrates TCA offerings from other providers, allowing traders to see and compare trade assessments from multiple sources on one screen. Traders can view all the analytics directly from the trading blotter, or from any component of their trading environment, such as a separate window in the EMS or in the OMS.

Because Second Opinion is an independent platform, your trading information remains confidential and is never exposed to your trading counterparties. This is a key differentiator from other pre-trade services that are web based and require traders to first upload their portfolio into the provider's web site, then view the pre-trade data on the same web site.

Second Opinion also spares traders time and tedium when using pre-trade analyses to set up execution strategies for large portfolios. This can be a substantial advantage when dealing with hundred- and thousand-instrument portfolios.

A unique quantitative approach for greater accuracy in pre-trade and real-time analysis

Second Opinion is the brainchild of InfoReach's quantitative analyst team, headed by Alexander Ferludin, PhD. He is a specialist in Theoretical Physics with extensive experience researching portfolio optimization, arbitrage, yield curve modeling and high frequency trading for various investment firms.

Based on the statistical analysis of months of historical trades and quotes and using the Almgren and Chriss model as its core, Second Opinion goes one step beyond to factor in real-time trade and market variables. Back testing reveals this can improve the accuracy of pre-trade analysis alone by as much as 12%.

Quality of Prediction Ranking

As with all statistical analysis, the quality of prediction is greatly dependent upon the size of the data sample. It is obviously more difficult to predict the behavior of an instrument that trades a few hundred times a day, compared with one that trades tens of thousands of times a day, so pre-trade assessments on illiquid names can be less reliable.

Second Opinion publishes a statistical validity score for every instrument as well as portfolio, so traders can exercise greater diligence while executing lower ranking (less liquid) instruments.

Interactive Real-Time Analysis

Most available pre-trade services do not factor in real-time market adjustment because they do not expect traders to re-upload the residuals of their trades during the course of the trading day. As a result, the pre-trade analysis remains the same regardless of whether traders are done with half of their trades or if they upload their portfolios at noon.

InfoReach's Second Opinion Pre-Trade and At-Trade service solves this challenge by being tightly integrated with the trading system. Once the trader uploads his trades or portfolio, Second Opinion calculates its pre-trade numbers and allows the trader to interact with them graphically by applying desired execution strategies. Second Opinion then monitors real-time markets and the progress of execution and informs the trader of any changes in pre-trade assessments. If desired, the trader can adjust execution strategies in real time.

Comprehensive analytics for pre-, at- and post-trade

A comprehensive transaction cost analysis system, Second Opinion integrates pre-trade analysis and cost-estimation with real-time and historical transaction cost analysis:


Currently available for global equities for individual instruments as well as portfolios, Second Opinion Pre-Trade helps traders determine optimal trading horizon as a function of cost impact and price change over time based on a number of variables, including average volume, spreads, volatility and instrument correlations.

For example, the chart below superimposes cost impact which is getting smaller as trading spreads over a longer period of time and risk of the instrument price deviation in unfavorable direction as the time interval gets greater:

Impact vs Risk

However, InfoReach understands that relying on Average Daily Volume (ADV) as an integral parameter is not necessarily valid in today's volatile markets, when many days are not average, volume wise. In fact, our statistical analysis of historical data found that actual volume can deviate from ADV by as much as 40%:

Average Daily Volume (ADV)

Further analysis revealed that daily trading volumes have their own trends over periods of time. So by factoring in these volume trends, the Second Opinion model is able to improve pre-trade accuracy by as much as 12%.


No matter how many statistically derived parameters and trends a pre-trade model takes into consideration, there is no substitute for adjusting the course of trade execution based on what the market is actually doing that moment.

Second Opinion At-Trade does just that. It monitors markets and the progress of the trade execution in real-time and adjusts previously made pre-trade predictions as needed.

For example, initial pre-trade analysis suggests that a certain trade will be 10% of the projected day's volume. But several hours later, Second Opinion At-Trade will suggest that the remainder of the trade might be 20% of the projected remaining day's volume (based on both actual market volume being lower and the progress of execution being slower than expected).

The chart below demonstrates how At-Trade's re-factoring of intraday accumulated volumes over initially projected ADV can improve overall volume and volume distribution:

At-Trade's re-factoring of intraday accumulated volumes over initially projected ADV

Additionally, as the market close approaches, At-Trade gradually replaces an increasingly greater portion of the statistically derived forecast with the actual market data, thereby improving the accuracy of pre-trade analysis over time.


Second Opinion Post-Trade analytics assess execution performance and costs once a trade is completed, allowing users to adjust strategies and improve performance. InfoReach also can customize analyses and reports to meet your unique objectives.

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