Transaction Cost Analysis Interview Guide
Transaction cost analysis interview guide covering TCA purpose, benchmarks, spread, market impact, fees, attribution, and examples.
Candidates evaluating execution quality, fees, impact, and benchmarks.
TCA reviews execution quality
Transaction cost analysis compares realized executions against benchmarks to understand costs, venue behavior, algorithm performance, and trader decisions.
Benchmarks define conclusions
Arrival price, VWAP, close, decision price, and peer benchmarks answer different questions and can rank the same execution differently.
Concrete example
An order can beat VWAP but lose against arrival if the market drifted upward while a buy order waited to trade passively.
Attribution needs context
Break costs into spread, impact, timing, fees, taxes, and opportunity cost, then compare across order size, venue, urgency, and liquidity.
Common mistakes
Candidates often treat TCA as objective truth. TCA is useful only when benchmark assumptions and order constraints are explicit.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.