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Research topic317 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.

87 readings

Liquidity and costs

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

155 readings

Auction and volume

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

75 readings
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 archive317 readings

Readings on this topic

1982Park good-till-cancelled targets after commissions at the chart bandsGood till cancelled order1985Matching ticket size to negotiable commission schedulesCommission analysis1985Exchange controls that close the trading-windowSession analysis1985Minimum tickets can price a small book out of its own exitCommission analysis1986Open outcry hand signals as order routingOrder routing1987Intraday Value Area construction from TPO countsMarket profile1987Constructing session market profiles from half-hour auctionsMarket profile1988Constructing a value area from TPO, volume, and order flowMarket profile1988Constructing Value Area trends from half-hour auction profilesMarket profile1988Folding night auctions into daily OHLC barsSession analysis1988Volume value area versus time-print filtersMarket profile1988Auction control from a price, volume, and time ledgerVolume profile