Velocity Clearing Cuts TCA Reporting From Days to Hours With KX

The Challenge

Velocity wanted one current view of order flow across its business. That view had to support teams with different priorities, including prime brokerage, outsourced execution, stock loan, compliance, and risk. Each team needed relevant analytics during the trading day, not a report assembled after the opportunity to act had passed.

Order investigation was particularly demanding. A client might ask why an order had not executed or how a partial fill occurred. Answering meant tracing cancels, replacements, routing hops, and executions across millions of records, then comparing the events with market conditions at the time. Velocity also needed the same underlying data for transaction cost analysis, billing, surveillance, risk monitoring, and regulatory reporting.

The KX Solution

Velocity selected kdb Insights Enterprise to combine real-time and historical analytics in one environment. The firm can ingest, store, join, and query high-volume order, trade, and market data without moving each analysis into a separate system. This gives teams a consistent record for both intraday decisions and historical investigation.

The platform fits existing technology choices at Velocity, including Amazon Web Services (AWS), Python, and SQL. Quantitative engineers can run data-intensive searches and joins in kdb Insights Enterprise, then return the results to Python or SQL workflows. Dashboards make the same data available to business users through views designed for their roles.

Velocity began with a new kdb implementation and used KX managed services to add practical experience to its internal team. That support helped the firm build its initial data pipelines and analytics while its engineers developed their own kdb skills.

How Velocity Clearing Uses KX

A Complete View of Each Order

Velocity consolidates order flow from client systems and connects every event in the order lifecycle. Teams can follow cancels, replacements, routing decisions, partial fills, and final executions, then compare them with Best Bid and Offer data and other market ticks. The result is a faster route from a client question to the records that explain what happened.

Transaction Cost Analysis for Clients and Traders

Velocity uses the combined data for transaction cost analysis (TCA). Reports that previously took days can now be produced in hours. Traders can review execution quality during the day, and clients can receive research tailored to the benchmarks they follow, including volume-weighted average price (VWAP), slippage, and implementation shortfall.

The team can analyze the same activity by time of day, market session, venue, order size, or another relevant factor. Dashboards bring outliers to the attention of trading and compliance teams, while historical analysis shows how execution patterns change across clients and venues.

Billing and Venue Cost Analysis

Exchange and broker fee schedules contain sub-dollar rates, notional rates, per-share charges, usage fees, and tiered rebates. Velocity stores those rules and applies them to incoming activity on an almost real-time basis. Teams can see fees paid, fees collected, and the economics of high-volume client activity during the day.

Historical analysis adds context. Velocity can identify venues with high fees and low fill rates, then use that evidence when it reviews routing priorities or client billing.

Intraday Routing and Algorithm Monitoring

Velocity uses live analytics to inform its smart order router. If fill rates fall for a market segment at a venue, the team can change venue priority during the same trading day. It can also monitor slippage and other performance measures for algorithmic strategies, then adjust parameters, reroute orders, or halt a strategy when the situation calls for it.

Before this work, many of those findings arrived at the end of the day and could only affect the next session. Velocity can now use current activity, venue costs, and historical behavior together when it makes routing and execution decisions.

Compliance, Risk, and Regulatory Reporting

Compliance teams monitor trading activity for errors, misconduct, and poor execution. Risk teams use the same data to review concentrations by security or sector and identify activity approaching risk limits. Because the underlying records are centralized, each team can work from the same order, execution, and market context.

Velocity also uses the platform for US Securities and Exchange Commission Rules 605 and 606 reporting, which cover execution quality and order-routing practices. For ad hoc questions from the Financial Industry Regulatory Authority or the Securities and Exchange Commission, the team can retrieve historical activity, add market data such as the National Best Bid and Offer, and prepare the requested output without rebuilding the analysis from disconnected systems.

The Results

Velocity now uses one source of order, trade, and market data for decisions across the firm. Teams can move from an event to its context quickly enough to act during the trading day.

• TCA reporting time reduced from days to hours
• Intraday routing changes based on current fill rates, costs, slippage, and strategy performance
• Full order lifecycle investigation across cancels, replacements, routes, and executions
• Client reports tailored to specific execution benchmarks and analytical questions
• A common data record for trading, billing, compliance, risk, and regulatory reporting

The same environment supports continued growth in order volume and new analytical use cases. Velocity can add data sources and business views without creating a separate reporting process for each team. This lets the firm extend its execution and client analytics as the business develops.