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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

2005Electronic index futures: spread quotes that follow the tapeMarket making2005Read the tape, name the liquidity job, then route for priceTape reading2005Contingent routing as a pre-trade futures contractLimit order2006Constructing the single-price open from overnight flowOpening auction strategy2006Manual after-hours routing and open-outcry fill riskOrder routing2006Fill entitlement, hybrid routing, and pairs sequencingTape reading2006Opening and close auctions versus limit-laddersOpening auction strategy2006Alerts over resting stops, with tape-reading at the exitStop-loss order2006Order-book depth and passive flow for executionOrder book depth2006A high-volume wide bar as an auction-intent checkVolume-price analysis2006A leftover clock that licenses offset-only market-at-closeOpening auction strategy2007Pairs, hedges, vanishing bids, and the cost of liquidityMarket making