Research topic317 readings
Execution and market microstructure
Execution and market microstructure methods with explicit inputs, outputs and limits.
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The archive317 readings
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2007Hybrid tape sweeps, pairs triggers, and fair-value cash-and-carry2007Fair value, open prints, and sweep fades2007Constructing executable futures orders with market, limit, and fill or kill2007Carry-adjusted index premium for auction execution2007Precommit futures stops and limits with contingent orders2007Overnight option limit fills, stops and trailing exits2007Market Profile as auction context for inventory imbalance2007Ethanol futures liquidity lagged the policy boom2008Two clocks on a public small-cap membership reset2008Perfect prints before the chart2008Close imbalance prints as an exit filter2008Overnight session routing for good-till-cancelled, limit, and market orders