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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

2018Constructing futures rolls ahead of first notice dayVolume-weighted average price2018Score listed futures as an execution menu before the setupLiquidity filter2019Evaluate futures liquidity with open interest and equal-dollar filtersLiquidity filter2019Volume follows price as auction stateVolume-price analysis2019Ranking futures liquidity before you size the orderLiquidity filter2019Filtering futures orders with liquidity, open interest and volumeLiquidity filter2019Forex execution filters for routing, cost, and liquidityOrder routing2019Ranking futures liquidity before contract selectionLiquidity filter2019One-triggers-the-other orders for a breakout and its stopBreakout confirmation2019One-triggers-the-other pairs for preplanned swing entriesTrailing stop2019Futures liquidity as an execution filterLiquidity filter2019Ranking futures liquidity before you pick a contractLiquidity filter