Liquidity filter · 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 routing6 readings

Read in the archive24 of 139 readings

1988Volume value area versus time-print filtersAuction and volume 1988Why instant basket routing overwhelms specialist liquidityLiquidity and costs 1990Hourly breakouts gated by absolute tick volumeEntry and exit rules 1999Direct access routing and the visible bookOrder types and routing 2000Treat an open limit book as an execution filterAuction and volume 2000Direct access, intelligent order routing, and visible book depthOrder types and routing 2001Displayed-size filters in multi-venue index-share executionLiquidity and costs 2001Displayed size, venue rules, and execution costsLiquidity and costs 2002A liquidity filter and intermarket overlay for one currency setupIntermarket and spreads 2005Float shifts and the limits of volume as demandAuction and volume 2005A two-gate liquidity filter for futures order routingLiquidity and costs 2007When option income ignores the implied-volatility range and liquidityOptions and volatility 2007Ethanol futures liquidity lagged the policy boomLiquidity and costs 2008A clean-energy theme inside the oil-and-energy regimeIntermarket and spreads 2008Breakout rules that wait for volume and liquidityEntry and exit rules 2008Decimalization, liquidity, and why price-only charts miss the tapeLiquidity and costs 2010A pre-trade liquidity screen for futures contractsLiquidity and costs 2010Relative liquidity ranking for futures contract selectionLiquidity and costs 2010Futures liquidity filter for equal-dollar size and open interestLiquidity and costs 2010A liquidity filter for executable futures contract selectionLiquidity and costs 2010Screening futures by liquidity, open interest, and equal-dollar sizeLiquidity and costs 2010Ranking futures liquidity for executable contract choiceLiquidity and costs 2010Liquidity and open interest screens for futures selectionLiquidity and costs 2010Screen futures for tradeable liquidity before sizingLiquidity and costs

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