In this post, we discuss the most common ways volume profiles are estimated and how machine learning can be used to do so more effectively.

In recent posts, I have been focused on algorithm nuances that can have disproportionate effects on algorithm performance. In this post,...

In a previous post, we discussed how a VWAP algorithm can morph into a Percent of Volume (POV) algorithm when the volume limit is hit. In...

The payment for order flow debate centers around two questions: who keeps the payments and what is the effect on market quality.

Volume constraints are widely used as a tool to prevent an algorithm from having excessive market impact. Volume constraints allow the...

With explicit commissions falling to zero and the ease of trading increasing so dramatically, the big question is: what impact is this havin

Jill Biden has a Ph.D. and insists on being called Dr. Jill Biden. I too have a Ph.D. Therefore, I must also insist on being called Dr....

Even among the most active exchanges, the incremental value of an exchange can vary dramatically.

This post focuses on three innovative tools to address adverse selection: The IEX D-Limit, IntelligentCross, and Nasdaq M-ELO.

Researchers at DFA and Harvard Business School document that net costs between inverted and non-inverted venues are indistinguishable.

The NYSE floor closure caused by COVID-19 resulted in a substantial change to the market structure of NYSE stocks literally overnight.

While RegNMS has driven down the costs of trading, over time, RegNMS -- like Festivus -- led to some unexpected outcomes.

The orderly trading on the NYSE has led many to question the value the floor adds – and whether it will ever reopen.

For any speedbump to be effective, it must create an asymmetric effect on some orders. Otherwise, faster traders would still “pick off” slow

This post covers how the use of timers in sell-side algorithms can wreak havoc when it comes to passive trading performance.

In this post, I highlight 5 key points that argue against the Intelligent Tick Proposal.

The D-Limit could add significant value by providing the broader trading community a means to compete with the more sophisticated traders.

This post discusses my initial observations on Nasdaq's recent Tick Size Proposal.

Do inverted venues leak information? Two studies shed light on this question and on inverted venue limit order performance in general.

In this blog post, we use the information gleaned from the completed Form ATS-N’s to provide insights into how dark pools differ and discuss

In this and future posts, I provide some real-world applications of machine learning in a trading context. Because machine learning is such

The revised Rule 606 has received significant attention recently, given its focus on the reporting of “hard data” on routing, including fees

Speed bumps have been a popular topic recently. The benefits to liquidity providers is obvious. The effect on other traders is less clear.

We discuss the benefits and costs of the NYSE D-quote...and how the D-quote may seem oddly familiar to Disney Fastpass users

In this blog post, we discuss how "Trader Alpha" can provide a reliable, cost-effective way to increase investment returns.

The topic of this week's post is on how rebates can incentivize brokers to enhance performance by greater use of "make" order.

The topic of this week’s post is the routing of algo child orders directly to electronic liquidity provider (ELPs).

Brokers are increasingly offering clients the ability to customize their algorithms to meet their client’s specific objectives.

Algo wheels are one of the most talked about topics within the electronic trading community. Initially, the term “algo wheel” referred...

A recent headline in a prominent trade publication proclaimed, “Demand for single-broker TCA dropping despite sell-side investment”.[1]...

In coming weeks, we will be posting notes on various topics, such as TCA, Algorithmic Trading and Market Structure. Please check back...