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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

1991Testing dealer inventory caps against a frozen order tapeMarket making1991Closing the feedback loop in auction market simulationsMonte Carlo simulation1991Calendar spread execution for futures month rollsSpread order1991Overnight versus session decomposition of futures barsSession analysis1991Constructing auction fuel from volume and open interestOpen interest analysis1992Volume-box construction with named spreadsheet macrosMarket profile1992Stop-order slippage as an execution cost filterTransaction-cost and slippage simulation1992Converting OHLC, session, and rollover series for analysisOHLC bar construction1993Commercial volume caps outside the value areaMarket profile1993Hourly participant volume as a live filter for day tradesMarket profile1995Canceled prints versus executable fillsOrder routing1998Percentage back-adjusted futures seriesFutures rollover management