Commission analysis · TradersWeek

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Output: Research filter
Input: Order book, spread, volume, auction and trading costs
Horizon: Seconds to the order life cycle
Best use: Choose an executable order and account for implementation cost.

Input: Order book, spread, volume, auction and trading costs.
Output: filter.
Use boundary: Choose an executable order and account for implementation cost.

The graph1

How the method is built, and where it has been read

Depends on

Often reviewed together

Order routing5 readings

Read in the archive24 of 83 readings

1982Park good-till-cancelled targets after commissions at the chart bandsOrder types and routing 1985Matching ticket size to negotiable commission schedulesLiquidity and costs 1985Minimum tickets can price a small book out of its own exitLiquidity and costs 1986A pre-trade checklist for crowded trading methodsDecision process 1991Evaluating a trailing stop against a coin-flip entryStops and loss limits 1992Stop-order slippage as an execution cost filterLiquidity and costs 1993Cost-aware walk-forward evaluation of pattern-detector signalsTime series and forecasting 2001Audit high-turnover operating conditions as one procedureDecision process 2001Ticket charges, internalization, and hidden size on the tapeLiquidity and costs 2002Market-order routing, internalization, and displayed sizeOrder types and routing 2002Front-load futures commission and slippageLiquidity and costs 2002Profitability as a bound implied by RWL and commissionSystem design 2003Cheaper access still left a routing and cost problemLiquidity and costs 2004Retail forex tickets as implementation-cost contractsOrder types and routing 2004A day-trading breakeven matrix for size and win rateSizing and leverage 2005Index-etf-core weights, a growth-index-clock, and an implementation-cost-ledgerPortfolio construction 2005Limit orders, routing paths, and commission tradeoffsOrder types and routing 2005Currency execution costs hide in spreads and marginLiquidity and costs 2005Inactive account fees as hidden implementation costLiquidity and costs 2006Cost-aware excursion filters for stops and holding periodStops and loss limits 2010Stacking commission and currency costs on international fillsLiquidity and costs 2010A futures brokerage quote is an execution specificationLiquidity and costs 2010A pre-trade liquidity screen for futures contractsLiquidity and costs 2010Currency futures versus forex on spread, margin, and microsLiquidity and costs

This registry entry describes a research method. It is not investment advice and does not make a performance claim.