Archive
Research and commentary for market practitioners.
Writing on execution, algorithms, trading costs, market structure, and the evolving role of the institutional trading desk.
Why Wait for Tick Size Reform? Come on, the Clock is “Ticking”
A few weeks back, the issue of payment for order flow came to the fore (again) due to an article in the Wall Street Journal suggesting...
Read article →VWAP Profiles: A Machine Learning Application
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.
Read article →Why Use a Portfolio Trading Algorithm? (And why not)
In recent posts, I have been focused on algorithm nuances that can have disproportionate effects on algorithm performance. In this post,...
Read article →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...
Read article →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.
Read article →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...
Read article →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
Read article →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....
Read article →All Major Exchanges are Not Created Equal
Even among the most active exchanges, the incremental value of an exchange can vary dramatically.
Read article →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.
Read article →Do Exchange Fees Even Matter?
Researchers at DFA and Harvard Business School document that net costs between inverted and non-inverted venues are indistinguishable.
Read article →“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.
Read article →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.
Read article →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.
Read article →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
Read article →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.
Read article →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.
Read article →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.
Read article →The Nasdaq Tick Size Proposal: Some Initial Thoughts
This post discusses my initial observations on Nasdaq's recent Tick Size Proposal.
Read article →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.
Read article →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
Read article →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
Read article →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
Read article →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.
Read article →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
Read article →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.
Read article →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.
Read article →ELPs: “Electronic Liquidity Providers” or “Examples of a Leakage Problem”
The topic of this week’s post is the routing of algo child orders directly to electronic liquidity provider (ELPs).
Read article →Custom Algorithms: Time to stop buying “off-the-rack”?
Brokers are increasingly offering clients the ability to customize their algorithms to meet their client’s specific objectives.
Read article →Algo Wheel of Fortune
Algo wheels are one of the most talked about topics within the electronic trading community. Initially, the term “algo wheel” referred...
Read article →TCA is Dead! Long Live ESA!
A recent headline in a prominent trade publication proclaimed, “Demand for single-broker TCA dropping despite sell-side investment”.[1]...
Read article →Welcome to the Bacidore Group Blog
In coming weeks, we will be posting notes on various topics, such as TCA, Algorithmic Trading and Market Structure. Please check back...
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