XTX Enters The Dark
Expanding its footprint in US equities, XTX Markets drops its first 605 report for March 2021. Alphacution uses this event to make some comparisons and offer some interpretations about the evolving US equity market structure...
Robinhood Q1 PFOF Report: Big Growth, Dramatic Shifts in Trading Behavior
Robinhood's Q1 2021 PFOF data was made public over the weekend. Here are a few highlights...
It’s 13F Season Again. Simplex Trading Goes First
In a world of ultra-fierce competition among proprietary traders, it has become increasingly challenging for newer, smaller players to succeed. We have been keeping a close eye on two players who appear to be bucking this trend above the rest. One of them is option market maker, Simplex Trading. In this Feed post, Alphacution showcases the latest 13F reporting to test for signals of Simplex's ongoing success...
Alphacution Publishes Payment for Order Flow 2020, Part 1: Rate Heatmaps
2020 will be remembered for many reasons. In the context of Alphacution’s ongoing research focus, we want to remember 2020 as the first full year of enhanced transparency into the mechanics and impacts of the long-held practice of payment for order flow (PFOF). In this 23-page, 20-exhibit deck, Alphacution presents PART I of its upcoming comprehensive case study, Payment For Order Flow 2020, with a focus on order routing rate heatmaps.
The Mother of All 2020 PFOF Charts
Assembling 4 quarterly reports comprised of 12 monthly sets of figures segmented by 3 securities categories and 4 order types across 12 retail brokerage entities and a subset of some 14 wholesale market makers - each number within which, by the way, painstakingly entered by hand - in order to slice and dice an entire annualized data set from any angle and still have everything add up exactly the same was both a pain in the ass and a labor of love...
Coinbase IPO Sheds Light on Crypto’s Structural Revenue Potential
Based on data reported in concert with the historic IPO of U.S. crytpocurrency exchange, Coinbase, Alphacution takes a first look at the pile of cabbage that's really at stake in the explosive, yet still nascent, cryptocurrency market. (Turns out, it seems insane...)
And the #1 Market Maker is…
There are many ways to rank prop firms and market makers, given the right data. However, depending on the market or the metric used, rankings will differ. Outside of our case studies, here are some figures we've never shared on the Feed, and the implications are likely to be quite consequential for the road ahead...
Bloomberg, Forbes: Alphacution Scores Press Twofer
"There is nothing to writing. All you do is sit down at a typewriter and bleed."Ernest Hemingway Tuesday, April 6, 2021 was a good day for Alphacution in the press... The morning started with a feature by Bloomberg Editor Tom Maloney, "Citadel Gets the Spotlight," wherein he tells the story of Ken Griffin and Citadel Securities' rise as major trading force in the post GFC landscape and - most notably since GameStop - as a recent focal point of politicians and regulators. (I'm sure Ken is not thrilled with the title image.) Here at Alphacution, this article will be remembered primarily for two things: First, for providing a few useful financial tidbits - and, second, for placing a few of our words in the largest font in our history to date - Should it have been "Amazonization" or "Amazonification"? Either way, you get the gist... One more thing on this: I may have told this tale before, but after throwing an unsolicited sharp elbow in Tom's direction in our December [...]
Measuring Structural Alpha Capacity in the Global ETP Market
Thanks to reporting from our friends at Flow Traders, Alphacution walks through a storyboard of ETP market attributes to arrive at an estimate for the structural (market making) revenue potential of the global and regional ETP markets...
We Have Doug Cifu’s Number, Too
A mini-case study on Virtu Financial, based on updated modeling through year-end 2020, cooked up special for fans of @dougielarge...
