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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

2016Filter futures by liquidity, open interest, and margin costLiquidity filter2016Stacking volume, open interest, and trader books around expirationOpen interest analysis2016A futures liquidity ranking as a screen for executable ordersLiquidity filter2016Comparing dollar-index futures execution costs and liquidityFutures contract selection2016Same-dollar liquidity-filter for listed futuresLiquidity filter2016Liquidity filter for executable futures ordersLiquidity filter2017Evaluating futures liquidity for executable contract selectionLiquidity filter2017Ladder, trail, and average as one execution ticketOrder book depth2017Screen listed futures for execution liquidity firstLiquidity filter2017Venue routing for equivalent listed contractsOrder routing2017Filter a futures board by liquidity, open interest, and implementation costLiquidity filter2017Venue choice as an order-routing filterOrder routing