2000issue C051-6
Treat an open limit book as an execution filter
The archive describes an electronic matcher that showed a public limit book to every participant. TradersWeek editorial view: use that book as a filter and send a priced, session-aware limit order instead of handing price discovery to an intermediary.
- The venue described itself as an electronic matcher whose design goal was simultaneous information for all participants, not a floor time-and-place advantage.
- A public, browser-visible limit-order book was offered so traders could size and price executable limit orders from the live book instead of using market orders.
- Nasdaq was framed as an aggregator and connector of competing venues, so Order routing is a choice of which book actually pairs the trade.
- Extended-hours sessions had their own hours, rising volume, and cited after-hours prints with tight spreads, so Session analysis belongs in the same decision as the order.
An electronic matcher with a public book
The venue described itself as an electronic matcher of buyers and sellers whose design goal was simultaneous information for all participants rather than a floor time-and-place advantage.
Nasdaq was framed as an aggregator and connector of competing venues, not as the venue that itself matches the trade.
By the interview period the venue reported matching on the order of 200 million shares a day, described as about 12 percent of Nasdaq volume or one in eight trades. The matching model was presented as pairing contra-side orders directly, including a claim that fourth-quarter 1999 volume of eight and a half billion shares traded without a dealer spread.
TradersWeek editorial view: Order routing starts with that distinction. You are choosing the book that will pair the order, not asking an aggregator to discover the price for you.
Limit orders as the protective price
A public, browser-visible limit-order book was offered so price-sensitive traders could size and price executable limit orders from the live book instead of using market orders.
The interview treated limit orders as the primary investor-protection tool and argued that hidden floor pricing information leaves the customer unable to price an order.
TradersWeek editorial view: that display is the Liquidity filter. Size and price from posted interest when you can see it. A market order hands the missing price back to an intermediary.
Extended hours need their own session reading
Extended-hours sessions were described as 8:00 a.m. to 9:30 a.m. and 4:00 p.m. to 8:00 p.m., with reported volume rising from one million shares a day in September 1999 to 18 million shares a day by the interview. An after-hours Microsoft print of more than three million shares at 6:38 p.m. was cited with a maximum spread of one eighth and frequent prints as tight as 1/256.
TradersWeek editorial view: Session analysis belongs in the same decision as the order. The book, spread, and volume you use to price the order are specific to the session that will receive it.
All readings on this track · 18 readings
- 1990Constructing a second-hour session residual exponential index
- 2000Treat an open limit book as an execution filter
- 2002Constructing a long, short, or flat pre-trade checklist
- 2003Session-window trims for mechanical day-system evaluation
- 2004Overnight session entry rules after regular hours
- 2005Overnight and regular session execution in Nasdaq 100 names
- 2006The intraday workspace as a combined decision procedure
- 2006Same-session trading needs presence and next-signal rules
- 2007Session filters for moving-average entry rules
- 2008Related-market checklist, session filter, and ATR-scaled stop
- 2008After-hours session regimes and the next-day close
- 2008Evaluating a next-open entry after one-day corrections
- 2010Session range share: currency futures versus the mini index
- 2011Dollar travel, afternoon sessions, and a 1:2 first-loss bound in equity-index futures
- 2012Last-hour volume breaks with a first-hour exit
- 2013Same-session and multi-session trades as one rule-based procedure
- 2015Session clock bars from public quote feeds
- 2016Session-gated moving-average entry construction