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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

2010Ranking futures liquidity for executable contract choiceLiquidity filter2010Liquidity and open interest screens for futures selectionLiquidity filter2010Screen futures for tradeable liquidity before sizingLiquidity filter2010Ranking futures by open interest and equal-dollar liquidityLiquidity filter2011Liquidity filter for futures contract selectionLiquidity filter2011Routing fees, do-not-ship flags, and maker-taker limit ordersOrder routing2011Screen futures liquidity with open interest and volumeLiquidity filter2011Screen futures liquidity with open interest and equal dollar sizeLiquidity filter2011Futures liquidity rank as an execution filterLiquidity filter2011Filter executable futures with liquidity and open interestLiquidity filter2011Smart order routing, maker-taker, and midpoint execution costsOrder routing2011OCA exit groups, trailing limits, and ATR stopsTrailing stop