Measuring Execution Quality in U.S. Treasury Markets

Quantitative Brokers (QB) is featured on Greenwich Associates’ Blog about the uses of Transaction Cost Analytics (TCA) for measuring and comparing execution on U.S Cash Treasury markets. In this blog, QB shares a TCA on the 20-Year “on-the-run” Treasury and shows how measuring execution can be impactful for improving performance and understanding the microstructure across multiple liquidity providers.

Original Blog Post - July 21st, 2021 via Coalition Greenwich