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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

2014Rank futures liquidity before selecting the contractLiquidity filter2014Selecting a futures broker as an execution-architecture problemOrder routing2014Workstation order routing, VWAP, and session filtersOrder routing2014Commission shopping is the wrong first filter for a futures orderCommission analysis2014A liquidity filter for majors, crosses, and exoticsLiquidity filter2014Constructing forex orders from session liquidityMarket order2014Filter futures by equal-dollar liquidity and open interestLiquidity filter2015Filter futures contracts by liquidity and open interestLiquidity filter2015Routing orders when equivalent products trade on multiple venuesOrder routing2015Use a futures liquidity rank as a pre-trade checklistLiquidity filter2015Forex venue checks for speed, margin, and implementation costOrder routing2015Filter futures contracts by open interest and volumeLiquidity filter