POV Algorithms: Taken to the Limit 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...
Payment for Order Flow: My Two Cents (per hundred) The payment for order flow debate centers around two questions: who keeps the payments and what is the effect on market quality.
When VWAP Algo + Volume Constraints = POV Algo Volume constraints are widely used as a tool to prevent an algorithm from having excessive market impact. Volume constraints allow the...
Zero-Commission Trading: From Hero to Zero With explicit commissions falling to zero and the ease of trading increasing so dramatically, the big question is: what impact is this havin
Trading Cost Models: Uses and Abuses 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....
All Major Exchanges are Not Created Equal Even among the most active exchanges, the incremental value of an exchange can vary dramatically.
Three Innovative Ways to Reduce Adverse Selection This post focuses on three innovative tools to address adverse selection: The IEX D-Limit, IntelligentCross, and Nasdaq M-ELO.
Do Exchange Fees Even Matter? Researchers at DFA and Harvard Business School document that net costs between inverted and non-inverted venues are indistinguishable.
“When One Floor Closes…": The Empirical Evidence on The NYSE Floor Closure The NYSE floor closure caused by COVID-19 resulted in a substantial change to the market structure of NYSE stocks literally overnight.
RegNMS-tivus: A Market Structure for the Rest of Us While RegNMS has driven down the costs of trading, over time, RegNMS -- like Festivus -- led to some unexpected outcomes.
Is this the End of the NYSE Floor? The orderly trading on the NYSE has led many to question the value the floor adds – and whether it will ever reopen.
All (Useful) Speed Bumps Are Asymmetric For any speedbump to be effective, it must create an asymmetric effect on some orders. Otherwise, faster traders would still “pick off” slow
Does Your Algorithm Contain A Ticking Time(r) Bomb? This post covers how the use of timers in sell-side algorithms can wreak havoc when it comes to passive trading performance.
Ticked Off : Five Arguments Against the Nasdaq Intelligent Tick Proposal In this post, I highlight 5 key points that argue against the Intelligent Tick Proposal.
The IEX D-Limit Proposal: It’s good…but what if it’s TOO good? The D-Limit could add significant value by providing the broader trading community a means to compete with the more sophisticated traders.
The Nasdaq Tick Size Proposal: Some Initial Thoughts This post discusses my initial observations on Nasdaq's recent Tick Size Proposal.
Do Inverted Venues Leak Information? Do inverted venues leak information? Two studies shed light on this question and on inverted venue limit order performance in general.
Are Dark Pools All the Same? Form ATS-N Says "No" 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
Applications of Machine Learning in Trading: Part 1 In this and future posts, I provide some real-world applications of machine learning in a trading context. Because machine learning is such
Rule 606: More Than a Canary for Coal Mines The revised Rule 606 has received significant attention recently, given its focus on the reporting of “hard data” on routing, including fees
Exchange Speed Bumps: An indirect way to reduce buy-side trading costs Speed bumps have been a popular topic recently. The benefits to liquidity providers is obvious. The effect on other traders is less clear.
The NYSE D-Quote: The Disney Fastpass of Trading We discuss the benefits and costs of the NYSE D-quote...and how the D-quote may seem oddly familiar to Disney Fastpass users
Investing in Trader Alpha: A reliable, cost-effective way to boost performance In this blog post, we discuss how "Trader Alpha" can provide a reliable, cost-effective way to increase investment returns.
Can exchange rebates help align broker and client incentives? The topic of this week's post is on how rebates can incentivize brokers to enhance performance by greater use of "make" order.
POV Algorithms: Taken to the Limit 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...
Payment for Order Flow: My Two Cents (per hundred) The payment for order flow debate centers around two questions: who keeps the payments and what is the effect on market quality.
When VWAP Algo + Volume Constraints = POV Algo Volume constraints are widely used as a tool to prevent an algorithm from having excessive market impact. Volume constraints allow the...
Zero-Commission Trading: From Hero to Zero With explicit commissions falling to zero and the ease of trading increasing so dramatically, the big question is: what impact is this havin
Trading Cost Models: Uses and Abuses 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....
All Major Exchanges are Not Created Equal Even among the most active exchanges, the incremental value of an exchange can vary dramatically.
Three Innovative Ways to Reduce Adverse Selection This post focuses on three innovative tools to address adverse selection: The IEX D-Limit, IntelligentCross, and Nasdaq M-ELO.
Do Exchange Fees Even Matter? Researchers at DFA and Harvard Business School document that net costs between inverted and non-inverted venues are indistinguishable.
“When One Floor Closes…": The Empirical Evidence on The NYSE Floor Closure The NYSE floor closure caused by COVID-19 resulted in a substantial change to the market structure of NYSE stocks literally overnight.
RegNMS-tivus: A Market Structure for the Rest of Us While RegNMS has driven down the costs of trading, over time, RegNMS -- like Festivus -- led to some unexpected outcomes.
Is this the End of the NYSE Floor? The orderly trading on the NYSE has led many to question the value the floor adds – and whether it will ever reopen.
All (Useful) Speed Bumps Are Asymmetric For any speedbump to be effective, it must create an asymmetric effect on some orders. Otherwise, faster traders would still “pick off” slow
Does Your Algorithm Contain A Ticking Time(r) Bomb? This post covers how the use of timers in sell-side algorithms can wreak havoc when it comes to passive trading performance.
Ticked Off : Five Arguments Against the Nasdaq Intelligent Tick Proposal In this post, I highlight 5 key points that argue against the Intelligent Tick Proposal.
The IEX D-Limit Proposal: It’s good…but what if it’s TOO good? The D-Limit could add significant value by providing the broader trading community a means to compete with the more sophisticated traders.
The Nasdaq Tick Size Proposal: Some Initial Thoughts This post discusses my initial observations on Nasdaq's recent Tick Size Proposal.
Do Inverted Venues Leak Information? Do inverted venues leak information? Two studies shed light on this question and on inverted venue limit order performance in general.
Are Dark Pools All the Same? Form ATS-N Says "No" 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
Applications of Machine Learning in Trading: Part 1 In this and future posts, I provide some real-world applications of machine learning in a trading context. Because machine learning is such
Rule 606: More Than a Canary for Coal Mines The revised Rule 606 has received significant attention recently, given its focus on the reporting of “hard data” on routing, including fees
Exchange Speed Bumps: An indirect way to reduce buy-side trading costs Speed bumps have been a popular topic recently. The benefits to liquidity providers is obvious. The effect on other traders is less clear.
The NYSE D-Quote: The Disney Fastpass of Trading We discuss the benefits and costs of the NYSE D-quote...and how the D-quote may seem oddly familiar to Disney Fastpass users
Investing in Trader Alpha: A reliable, cost-effective way to boost performance In this blog post, we discuss how "Trader Alpha" can provide a reliable, cost-effective way to increase investment returns.
Can exchange rebates help align broker and client incentives? The topic of this week's post is on how rebates can incentivize brokers to enhance performance by greater use of "make" order.