FX Transaction Cost Analysis
FX execution quality is notoriously difficult to measure: spreads vary by tenor, liquidity provider, and time of day, and benchmark prices move in milliseconds. 3forge computes transaction cost analysis against live mid-market rates as trades execute, giving traders and compliance teams the same real-time view of execution quality.
The Challenge
FX TCA Delivered After Markets Close Is Already Stale
Traditional TCA systems process FX execution data overnight against end-of-day benchmark prices. By the time results are available, the market conditions that drove execution outcomes have changed, making the analysis descriptive, not actionable.
Benchmark accuracy
Using daily fix rates or end-of-day mid-prices as TCA benchmarks introduces significant timing basis against the actual execution environment at trade time.
Post-trade only analysis
Without pre-trade cost estimation and intraday measurement, traders can't adjust execution strategies in response to changing spread conditions during the session.
Multi-venue cost comparison
Comparing execution quality across ECNs, prime brokers, and single-dealer platforms requires joining data from disparate FIX sessions and API feeds, a task most firms handle only overnight.
Currency overlay complexity
Multi-currency portfolios add hedging costs and currency risk to transaction cost calculations that most TCA tools ignore or handle poorly.
The 3forge Approach
Real-Time FX TCA Against Live Benchmarks
3forge connects to live FX market data streams and execution feeds simultaneously, computing slippage, spread cost, and venue quality metrics as each trade executes. AMIScript applies your benchmark methodology continuously so analysis is always current.
Key Capabilities
What You Can Build with 3forge
Live Slippage Measurement
Compare execution prices against live mid-market rates at the moment of execution, not against an end-of-day fix.
Venue Quality Scoring
Score each liquidity provider and ECN by spread, slippage, and reject ratio continuously throughout the session.
Pre-Trade Cost Estimation
Model expected transaction costs for pending FX orders based on current spread conditions and historical venue performance.
Multi-Venue Cost Comparison
Compare execution costs across prime brokers, ECNs, and single-dealer platforms side-by-side with a consistent benchmark methodology.
Currency Overlay Cost Tracking
Include hedging costs and currency conversion fees in the total transaction cost calculation for multi-currency portfolios.
Compliance TCA Reporting
Generate FX best-execution evidence reports on demand using the full execution and benchmark history stored in 3forge.
Get started
Ready to see it live?
Book a 30-minute demo with a 3forge solutions engineer and see real-time FX transaction cost analysis built on real data.