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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

2001Displayed-size filters in multi-venue index-share executionOrder flow analysis2001Displayed size, venue rules, and execution costsMarket making2001Construct a volume-weighted continuous-lead contractFutures rollover management2002Market-order routing across linked venuesOrder routing2002Market-order routing, internalization, and displayed sizeOrder routing2002Opening-only orders, posted stops, and paper fills as first-class rulesOpening auction strategy2002Front-load futures commission and slippageCommission analysis2002Treat the session as an auction: find value, then judge the breakoutMarket profile2002Auction structure, trader constraints, and the opening rangeMarket profile2003Opening auction indications, premium and print sizeOpening auction strategy2003Cheaper access still left a routing and cost problemCommission analysis2003Opening-only limits and priced exitsLimit order