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Methodologies / fx-tca

Transaction Cost Analysis

Implementation shortfall vs a user reference rate, plus quote-currency fees.

v1.0fx-tca

Formula

shortfall_buy = (exec − ref) × notional; all_in = shortfall + fees

Assumptions

Reference is arrival/mid/agreed benchmark supplied by user.

Limitations

Single-trade TCA; no venue cohort or latency model.

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