S-Software Design

Research & Development

Algorithmic and High-Frequency Trading are the new buzz-words – always more, faster and better.  Even though speed is essential, execution performance weighs heavily, and with pressure from all sides to comply with MiFID Best Execution requirements, it is becoming crucial to measure and report transaction costs. Capturing the correct magnitude of transaction costs is very important for trading strategies and portfolio allocations.

S-Software Design has been providing transaction cost analysis (TCA) for equities on the JSE to major role players in the financial markets since 2006.  With our combined expertise, we have spent the last twelve years researching and improving our suite of services.

The goal of such a TCA is to break down the costs according to the brokers and execution means. Their efficiency is challenged and ways are identified to improve the practices of the execution desk. The results of the TCA analysis are then shared with the portfolio managers of the investment firm. The outcomes are used for review of the state of market liquidity and also used for the allocation process. The compliance function also uses the results for the regulatory requirements.

Now, for the first time, we have expanded our services to include offshore transaction cost analysis on trades executed on any stock exchange around the world. Our TCA offshore solution boasts the use of tick-by-tick data from international exchanges, and combined with your unique execution interval, we can analyse your performance in the most effective way possible. We have also recently expanded to provide TCA on fixed income instruments on the JSE.

In contrast to many other TCA providers, we analyse your portfolio on a trade-by-trade basis.  Our measurements include an arrival price benchmark (implementation shortfall), the execution interval volume-weighted average price (VWAP) and a best execution volume benchmark. We also measure and compare the performance of the various role players active throughout the execution interval.

We have different ways of delivering your results – tailor-made to suit your organisation’s needs.  We have an application programming interface (API) as a RESTful Webservice for the JSE, including an HTML5 front end.  The platform offers 24-hour after TCA of all trades done on the JSE.  This API can be integrated into most existing software systems.  Additionally, for all our product offerings, weekly or monthly results are available as a detailed Microsoft Excel spreadsheet, or alternatively, as a detailed report in pdf format.

Our suite of products includes:

  • Ultimate Execution – Equities:
    Includes 24 hour after analyses, as  well as offline analysis on the JSE.
  • Ultimate Execution – Fixed Income:
    Includes 24 hour after analyses, as  well as offline analysis on the JSE.
  • Offshore Ultimate Execution – Equities
    Offline analysis with currency converter  – all results converted to US Dollars.

Contact us to have one month of your data analysed at NO cost and NO obligation.

We also offer highly specialized academic research and model development as a service to interested parties.  Please contact us for a full range of subject areas.