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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

2013Iceberg hidden size and option-spread packagesOrder routing2013Futures liquidity filters for executable contract selectionLiquidity filter2013Construct a continuous futures series from the roll you can executeFutures rollover management2013Filter listed futures by liquidity and open interest firstLiquidity filter2013Depth of market ladder versus resting order ticketLimit order2013Ranking listed futures by liquidity and equal-dollar sizeLiquidity filter2013Check the currency cross, the margin, then the demo fillOrder routing2013Confirm routing, margin, and fill cost before a live forex orderOrder routing2013A pre-trade liquidity filter for futures contract selectionLiquidity filter2013Constructing forex orders from provider imbalance and book depthOrder book imbalance2013Brokerage choice as an execution-cost and routing filterCommission analysis2013Evaluate futures liquidity before committing marginLiquidity filter