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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

2017Constructing anchored volume-weighted average price maps for crowd-visible execution costsVolume-weighted average price2017Rank futures liquidity before contract selectionLiquidity filter2017Electronic stop-loss orders and protected price bandsStop-loss order2017Build a futures liquidity filter from open interestLiquidity filter2017Brokerage choice as an execution-speed and commission filterCommission analysis2017A three-part liquidity screen before a futures idea is executableLiquidity filter2018Broker margin-upcharges can force an option-income exitMargin management2018Evaluating futures liquidity for executable contract choiceLiquidity filter2018Routing equivalent contracts across competing venuesOrder routing2018Screen listed futures by liquidity, open interest, and marginLiquidity filter2018Volume-confirmed pivots versus unregulated spot exposureFutures contract selection2018Contract selection is the first filter on competing bitcoin futuresFutures contract selection