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Research topic75 readings

Auction and volume

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

FieldExecution and market microstructure317 readings
The registry

Entries in this field

6 entries

M

Market profile

O

Open interest analysis

S

Session analysis

V

Volume confirmationVolume profileVolume-weighted average price
The archive75 readings

Readings on this topic

1993Hourly participant volume as a live filter for day tradesMarket profile1998Percentage back-adjusted futures seriesFutures rollover management1999Assembling the daily auction from time-price opportunitiesMarket profile2000Who accepted price first in the auctionMarket profile2000Treat an open limit book as an execution filterOrder routing2000The listed cash open as a three-clock execution problemOpening auction strategy2001Constructing VWAP support and resistance from cumulative volumeVolume-weighted average price2001Construct a volume-weighted continuous-lead contractFutures rollover management2002Treat the session as an auction: find value, then judge the breakoutMarket profile2002Auction structure, trader constraints, and the opening rangeMarket profile2003Opening auction indications, premium and print sizeOpening auction strategy2003Continuous FX auctions, session-cuts, and gap proxiesSession analysis