Research topic75 readings
Auction and volume
Auction and volume within execution-and-market-microstructure.
FieldExecution and market microstructure317 readingsThe registry
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The archive75 readings
Readings on this topic
2010Same-side opening auctions and pair use of capital2010Session range share: currency futures versus the mini index2010Building volume profile maps for support and resistance2010Constructing daily volume-profile breakout levels2011Construct a daily initiator filter from lead-contract price, open interest, and volume2012Listed auction imbalance and market-on-close execution2013Session cutoffs, good-till-cancelled orders, and exchange margin2013Construct a continuous futures series from the roll you can execute2014Sizing opening and closing auction orders to volume2015Session clock bars from public quote feeds2016Stacking volume, open interest, and trader books around expiration2017Overnight volume as a construction step for the opening-range breakout