Cost Index with Trading Difficulty (TD) Indicator provides investors with insight regarding current market conditions and the current cost environment. This includes important trading signals such as Buy/Sell Imbalances, Trade Prices & Costs, and an indication of the TD Activity by stock.
Global universe of stocks - North America, Developed and Emerging Europe, Developed and Emerging Asia, Latin America, Frontier countries
Cost Index is available:
Real-Time
End of Day
Historical - going back to 1990
Historical Global Cost Index from 1990 through present - provides the expected cost that investors would have incurred historically based on today’s market environment, e.g., decimalization, electronic, algorithms, dark pools, internal crossing, ATS, etc.
The data includes:
Buy/Sell Imbalances – the difference between buying and selling pressure in the market.
Market Impact – the market impact cost caused by the daily imbalance based on actual market conditions on the day
Market Cost – the trading cost component due to market movement
Trade Cost – estimated trading cost based on buy-sell imbalance, daily market conditions (volume & liquidity), and market movement
Excess Cost – different between actual market cost on the day and estimated trading cost on the day
TD/HFT Activity – an indication of the amount of trading difficulty or high frequency trading activity in stocks. This includes the price impact that HFT activity is having on the stock price at the current time.
Trade Difficulty - a measure of the trading difficulty on the day, and serves as a proxy for the quantity of atypical trading activity.
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