Execution Quality / Rule 605 Chartstorm

Accessing liquidity in a highly fragmented market structure is both a challenge and an opportunity. Given the critical importance of accessing liquidity in modern listed markets, Alphacution took time to assemble and analyze SEC Rule 605 / execution quality data from at least 40 US equity market centers over the past several years representing wholesale market makers and other electronic liquidity providers (ELPs), exchanges, alternative trading systems (ATSs), large broker-dealers, and others. The result of that effort - focusing on price improvement metrics and the evolution of liquidity venues - is represented by the selection of charts found in this Feed post...