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Research topic155 readings

Liquidity and costs

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

FieldExecution and market microstructure317 readings
The registry

Entries in this field

17 entries

A

Aggressive execution

C

Commission analysis

F

Futures rollover management

I

Implementation shortfall

L

Liquidity filterLiquidity-seeking execution

M

Market impact model

O

OHLC bar construction

P

Participation rate executionPassive execution

T

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

V

VWAP execution
The archive155 readings

Readings on this topic

2018Constructing futures rolls ahead of first notice dayVolume-weighted average price2018Score listed futures as an execution menu before the setupLiquidity filter2019Evaluate futures liquidity with open interest and equal-dollar filtersLiquidity filter2019Ranking futures liquidity before you size the orderLiquidity filter2019Filtering futures orders with liquidity, open interest and volumeLiquidity filter2019Ranking futures liquidity before contract selectionLiquidity filter2019Futures liquidity as an execution filterLiquidity filter2019Ranking futures liquidity before you pick a contractLiquidity filter2019Screening futures by equal-dollar liquidityLiquidity filter2019Screen futures contracts by open interest and liquidityLiquidity filter2019Inspect execution cost and margin bounds before cycle timingCommission analysis2020Building an equal-dollar futures liquidity screenLiquidity filter