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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

2013Filter futures by open interest and relative liquidityLiquidity filter2013Liquidity pockets and order routing after the speed raceOrder routing2014Order routing, pass-through rebates, and liquidity choiceOrder routing2014A futures liquidity screen from range, open interest and volumeLiquidity filter2014Ticket charges, margin carry, and bank liquidity limitsCommission analysis2014Comparing exchange venues before routing the orderOrder routing2014Evaluating futures contract liquidity before executionLiquidity filter2014Book futures data fees as implementation costCommission analysis2014Filter futures by equal-dollar size, open interest, and volumeLiquidity filter2014A two-gate liquidity filter for listed futuresLiquidity filter2014Sizing opening and closing auction orders to volumeOpening auction strategy2014Marketable limits, directed venues, and spread filtersOrder routing