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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

2008Depth, close imbalances, and pairs on one clockMarket at close2008Overnight auction regimes and the intraday hold-or-exit choiceSession analysis2008Bid-ask spreads, routing paths, and order choiceOrder routing2008Opening auction, market making, and arbitrage as a capital businessOpening auction strategy2008Hidden size, tape delay, and pairs shorts belong in the trade ruleOrder routing2008Retail market buys hit the askLimit order2008Opening gap limits and close imbalance ordersOpening auction strategy2008Constructing equal-volume and open-interest auction zonesOpen interest analysis2008Decimalization, liquidity, and why price-only charts miss the tapeOrder flow analysis2010Stacking commission and currency costs on international fillsCommission analysis2010Closing auction snapshots, fair value and pivot levelsPivot point2010A futures brokerage quote is an execution specificationCommission analysis