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...

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.

In recent posts, I have been focused on algorithm nuances that can have disproportionate effects on algorithm performance. In this post,...

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...

The payment for order flow debate centers around two questions: who keeps the payments and what is the effect on market quality.

Volume constraints are widely used as a tool to prevent an algorithm from having excessive market impact. Volume constraints allow the...

With explicit commissions falling to zero and the ease of trading increasing so dramatically, the big question is: what impact is this havin

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....

Even among the most active exchanges, the incremental value of an exchange can vary dramatically.

This post focuses on three innovative tools to address adverse selection: The IEX D-Limit, IntelligentCross, and Nasdaq M-ELO.

Researchers at DFA and Harvard Business School document that net costs between inverted and non-inverted venues are indistinguishable.

The NYSE floor closure caused by COVID-19 resulted in a substantial change to the market structure of NYSE stocks literally overnight.

While RegNMS has driven down the costs of trading, over time, RegNMS -- like Festivus -- led to some unexpected outcomes.

The orderly trading on the NYSE has led many to question the value the floor adds – and whether it will ever reopen.

For any speedbump to be effective, it must create an asymmetric effect on some orders. Otherwise, faster traders would still “pick off” slow