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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

2003Listed open order routing and the short-sale tapeOrder routing2003Listed auction accommodation and open-book executionOrder flow analysis2003Continuous FX auctions, session-cuts, and gap proxiesSession analysis2003Opening indication, one-sided envelope, and the sector tape checkOpening auction strategy2003Opening auction fills and the post-print tapeOpening auction strategy2003Market-at-close orders, leftover imbalance size, and the ex-dividend pairs openMarket at close2004Direct access order routing after the display rulesOrder routing2004Opening auction envelopes and crutch pairsOpening auction strategy2004Constructing index volume for price-volume signalsVolume-price analysis2004Specialist prints, opening exits and live tape filtersOpening auction strategy2004Retail forex tickets as implementation-cost contractsCommission analysis2004Listed-stock limit envelopes versus market-order routingLimit order