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Research topic47 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.

0 readings

Liquidity and costs

Liquidity and costs within execution-and-market-microstructure.

46 readings

Auction and volume

Auction and volume within execution-and-market-microstructure.

1 reading
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 archive47 readings

Readings on this topic

2012Ranking futures liquidity before choosing a contractLiquidity filter2013Liquidity-first futures contract selectionLiquidity filter2013Equal-dollar liquidity filter for futures contract choiceLiquidity filter2013Futures liquidity filters for executable contract selectionLiquidity filter2013Filter listed futures by liquidity and open interest firstLiquidity filter2013Ranking listed futures by liquidity and equal-dollar sizeLiquidity filter2013A pre-trade liquidity filter for futures contract selectionLiquidity filter2014Rank futures liquidity before selecting the contractLiquidity filter2014Filter futures by equal-dollar liquidity and open interestLiquidity filter2015Filter futures contracts by liquidity and open interestLiquidity filter2015A two-stage liquidity filter for futures contract selectionLiquidity filter2015Screen futures contracts by liquidity and open interestLiquidity filter