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Articles filed under: Trading Strategies & Market Analytics (23)

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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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