Blog | The Bacidore Group | Execution Consulting

Why Wait for Tick Size Reform? Come on, the Clock is “Ticking”

VWAP Profiles: A Machine Learning Application

Why Use a Portfolio Trading Algorithm? (And why not)

POV Algorithms: Taken to the Limit

Payment for Order Flow: My Two Cents (per hundred)

When VWAP Algo + Volume Constraints = POV Algo

Zero-Commission Trading: From Hero to Zero

Trading Cost Models: Uses and Abuses

All Major Exchanges are Not Created Equal

Three Innovative Ways to Reduce Adverse Selection

Do Exchange Fees Even Matter?

“When One Floor Closes…": The Empirical Evidence on The NYSE Floor Closure

RegNMS-tivus: A Market Structure for the Rest of Us

Is this the End of the NYSE Floor?

All (Useful) Speed Bumps Are Asymmetric

Does Your Algorithm Contain A Ticking Time(r) Bomb?

Ticked Off : Five Arguments Against the Nasdaq Intelligent Tick Proposal

The IEX D-Limit Proposal: It’s good…but what if it’s TOO good?

The Nasdaq Tick Size Proposal: Some Initial Thoughts

Do Inverted Venues Leak Information?

Are Dark Pools All the Same? Form ATS-N Says "No"

Applications of Machine Learning in Trading: Part 1

Rule 606: More Than a Canary for Coal Mines

Exchange Speed Bumps: An indirect way to reduce buy-side trading costs

The NYSE D-Quote: The Disney Fastpass of Trading

Investing in Trader Alpha: A reliable, cost-effective way to boost performance

Can exchange rebates help align broker and client incentives?

ELPs: “Electronic Liquidity Providers” or “Examples of a Leakage Problem”

Custom Algorithms: Time to stop buying “off-the-rack”?

Algo Wheel of Fortune

TCA is Dead! Long Live ESA!

Welcome to the Bacidore Group Blog

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...

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.

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,...

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.

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).

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.

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...

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]...

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...