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Articles filed under: Trading Strategies & Market Analytics (26)

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How to Fix the World (Not Just Reg NMS)

We find that many of the problems in the market are bigger than Reg NMS. So while reviewing Reg NMS is a very good starting point, tackling it in isolation is unlikely to move the needle in addressing the underlying problems with our market. What is needed is a more wholistic review of all market structure elements, including but not limited to Reg NMS.

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Venue Analysis II: Inverted Routes Signal More

In this report, we study the market’s reaction to new orders being routed to different venues. We find that inverted routes signal much more than maker-taker routes. Consequently, quantifying opportunity costs and optimizing routing become even more difficult. This is just one reason why we spend so much time experimenting with real trades to tune our algorithms.

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