In the conclusion to Parts I, II, and III of this series, Alphacution assembles its findings in terms of total retail equity order flow 'acquisition costs'; some insights into the wholesaler strategy behind why they pay these costs; and a simplified recommendation to the SEC...
In a continuation from Part I of this exercise, Alphacution shares the first steps in estimating price improvement rates for odd lot orders based on data related to wholesale market maker, Citadel Securities...
Given the approaching timing of the SEC's proposed overhaul of US equity market structure, Alphacution takes its analysis of 605 data to a new level with this one (using Citadel Securities as the initial example). Nearly four years of monthly price improvement rates per share and net price improvement values by order size and order type categories are among the highlights here...
With the latest data in hand, Alphacution updates its analysis of troubled option wholesaler, Simplex Trading...
Part II - Equity PFOF Volumes / Wholesaler Market Shares: Alphacution organizes and distills 33 months of payment for order flow (PFOF) data from 14 retail brokers and 13 wholesale market makers to place a wide-angle frame around the US Securities and Exchange Commission's upcoming proposals for a major equities market structure overhaul...
Alphacution organizes and distills 33 months of payment for order flow (PFOF) data from 14 retail brokers and 13 wholesale market makers to place a wide-angle frame around the US Securities and Exchange Commission's upcoming proposals for a major equities market structure overhaul...
Though the financial press highlighted a proposal to consider auctions in US equities for retail order flow, the SEC actually proposed 6 areas of interest for market structure rule changes. Alphacution presents its case for what's truly at issue here...
Was Robinhood a flash in the pan? Alphacution makes its case...
Alphacution's reconstruction of the available to data to detail option market player composition serves as catalyst for its first deep dive into Akuna Capital. Turns out, there's something different going on there...
New disclosure tools from the SEC - like an ESG reporting framework - are useful, but enhancing and enforcing existing disclosure tools are useful, too. Alphacution makes its case based on its roster of option market makers...
