A well known provider of independent execution quality and transaction cost analysis for the buyside, sellside and exchange community, Transaction Auditing Group (TAG), announced that its first comprehensive market quality assessment report for the Canadian equities markets is underway and will be publicly released in the second quarter of 2011.

Canadian equity market is undergoing transformation for several years and the market shows many complex features, which are typically characteristic of complex, mature markets such as European or US equity markets.

In recent times, there has been a rise in the use of automated order routing and execution technology by the Canadian exchanges and trading firms. The market is also characterized by swift and significant liquidity fragmentation.

All these trends provides ideal backdrop to the launch of TAG’s Canadian Market Quality Report, as market evaluation tools are high on demand in such markets.

According to TAG officials, the new report will give both exchanges and trading firms access to TAG’s extensive library of market performance metrics. The firms will then be able to conduct highly customized market quality evaluations, based on the individual user’s specific need, explained the TAG officials.

The trading firms can expect to get valuable market insight from TAG’s report. In addition to tracking liquidity fragmentation across the Canadian equities markets, the report will offer separate evaluation for individual market. In addition, it will offer a full set of metrics on the basis of such aspects as book liquidity, spread analysis, participation rate and volume size at best bid and offer, price improvement performance, market impact on execution and many other.

“The need to evaluate market performance is a natural progression for any trading community that has undergone the level of increased complexity that the Canadian market has undergone in the last several years. Canada is continuing to following the same pattern we’ve seen in the US and European markets, and we anticipate that as liquidity fragmentation continues and market data volumes increase, the demand for both market performance evaluation tools and TCA that measures broker performance will rapidly increase,” said Roger Post, executive VP at TAG, in a statement.

Recently, TAG appointed industry veteran David Shapiro as its executive vice president of sales and business development.