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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

2010A pre-trade liquidity screen for futures contractsLiquidity filter2010Inside the spread: why OHLC bars hide the buy-sell shiftOrder flow analysis2010Relative liquidity ranking for futures contract selectionLiquidity filter2010Futures liquidity filter for equal-dollar size and open interestLiquidity filter2010Same-side opening auctions and pair use of capitalOpening auction strategy2010Session range share: currency futures versus the mini indexSession analysis2010Currency futures versus forex on spread, margin, and microsCommission analysis2010A liquidity filter for executable futures contract selectionLiquidity filter2010Screening futures by liquidity, open interest, and equal-dollar sizeLiquidity filter2010Building volume profile maps for support and resistanceVolume profile2010Constructing daily volume-profile breakout levelsVolume profile2010Seasonal commodity windows and stop-limit fill riskLimit order