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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

2019Screening futures by equal-dollar liquidityLiquidity filter2019Screen futures contracts by open interest and liquidityLiquidity filter2019Inspect execution cost and margin bounds before cycle timingCommission analysis2020Building an equal-dollar futures liquidity screenLiquidity filter2020Use liquidity and open interest as a futures execution screenLiquidity filter2020Market-order slippage on split-adjusted stock pricesCommission analysis2020Routing equivalent listings across competing exchangesOrder routing2020Pre-trade liquidity filter for listed futuresLiquidity filter2020A futures liquidity board as a pre-trade execution filterLiquidity filter2020Filter futures orders by liquidity and open interestLiquidity filter2020A two-gate liquidity filter before futures order selectionLiquidity filter2020Use a listed-futures liquidity filter before executionLiquidity filter