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Research topic47 readings

Execution and market microstructure

Execution and market microstructure methods with explicit inputs, outputs and limits.

Topic map

Subtopics

Order types and routing

Order types and routing within execution-and-market-microstructure.

0 readings

Liquidity and costs

Liquidity and costs within execution-and-market-microstructure.

46 readings

Auction and volume

Auction and volume within execution-and-market-microstructure.

1 reading
The registry

Entries in this field

35 entries

A

Aggressive execution

B

Broker discretionary order

C

Commission analysis

F

Fill or kill orderFutures rollover management

G

Good till cancelled order

I

Implementation shortfall

L

Limit orderLiquidity filterLiquidity-seeking execution

M

Market at closeMarket impact modelMarket orderMarket profileMarket-if-touched order

O

OHLC bar constructionOpen interest analysisOrder book depthOrder book imbalanceOrder flow analysisOrder routing

P

Participation rate executionPassive execution

S

Session analysisSpread order

T

TWAP executionTape speedTime-weighted average priceTrade information controlTrade-at-price analysisTransaction-cost and slippage simulation

V

VWAP executionVolume confirmationVolume profileVolume-weighted average price
The archive47 readings

Readings on this topic

2007Ethanol futures liquidity lagged the policy boomLiquidity filter2010Relative liquidity ranking for futures contract selectionLiquidity filter2010A liquidity filter for executable futures contract selectionLiquidity filter2010Screening futures by liquidity, open interest, and equal-dollar sizeLiquidity filter2010Ranking futures liquidity for executable contract choiceLiquidity filter2010Liquidity and open interest screens for futures selectionLiquidity filter2010Ranking futures by open interest and equal-dollar liquidityLiquidity filter2011Liquidity filter for futures contract selectionLiquidity filter2011Futures liquidity rank as an execution filterLiquidity filter2011Filtering futures by liquidity, open interest and equal-dollar sizeLiquidity filter2011Liquidity and open interest as a screen for futures selectionLiquidity filter2011A futures liquidity filter for equal-dollar executionLiquidity filter