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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

1999Direct access routing and the visible bookOrder routing1999How order routing changes market and limit fillsOrder routing1999Assembling the daily auction from time-price opportunitiesMarket profile2000Who accepted price first in the auctionMarket profile2000Treat an open limit book as an execution filterOrder routing2000Direct access, intelligent order routing, and visible book depthOrder routing2000The listed cash open as a three-clock execution problemOpening auction strategy2001Retail routing and market versus limit fillsMarket order2001Ticket charges, internalization, and hidden size on the tapeCommission analysis2001Constructing VWAP support and resistance from cumulative volumeVolume-weighted average price2001Stop triggers and opening-only short market ordersStop-loss order2001Round-number clusters behind support and pattern signalsSupport and resistance