TCA_Project

This repository contains a Python-based Transaction Cost Analysis (TCA) workflow for equity trades. It includes scripts to compute key trading metrics such as Arrival Slippage, Implementation Shortfall (IS), and Broker Ranking, along with a Jupyter notebook to orchestrate the analysis.

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👂 Folder Structure

TCA_Project/
│
├─ database/          # SQLite database (tca.db) with trade data
├─ notebooks/         # Jupyter notebook: tca_metrics.ipynb
├─ tca/               # Python scripts for metrics
│   ├─ compute_slippage.py
│   ├─ compute_IS.py
│   └─ compute_broker.py
└─ README.md

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🛠 Dependencies

• Python 3.11+
• pandas
• sqlite3 (built-in with Python)
• Jupyter Notebook
• Optional: Anaconda for environment management

Install dependencies:

pip install pandas jupyter

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🗓 Usage

1. Set up the database
   Place your SQLite database (tca.db) in the database/ folder. Ensure the trades table exists with proper columns.

2. Run the notebook
   Launch the Jupyter notebook in notebooks/tca_metrics.ipynb.
   Example:

from tca.compute_slippage import compute_arrival_slippage
from tca.compute_IS import compute_IS
from tca.compute_broker import compute_broker

# Compute arrival slippage for all trades
slippage_df = compute_arrival_slippage()

# Compute Implementation Shortfall
is_df = compute_arrival_slippage()

# Compute Broker Ranking
trades_df, broker_summary = compute_broker_rank()

3. Filter and analyze
   You can filter the DataFrames in the notebook for specific symbols, sides, or date ranges.

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🎈 Metrics Included

• Arrival Slippage – measures execution price vs. arrival price
• Implementation Shortfall (IS) – measures execution price vs. decision price
• Broker Ranking – evaluates brokers based on slippage and IS

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⚡ Notes

• Functions are designed to load from database if no DataFrame is provided.
• All functions return pandas DataFrames for flexible analysis in notebooks.
• You can expand with additional TCA metrics (VWAP slippage, market impact, venue analysis).

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🔗 License

MIT License (or your preferred license)