Market Terraforming: Zero-Day Options Alter Landscape
Alphacution showcases a subtle yet important impact of the explosive zero days to expiration (0DTE) phenomenon in US equity option markets...
Under 100 Milliseconds: G1X Enters The Arena…
Alphacution adds Susquehanna International Group (SIG) affiliate G1 Execution Services market center "ETMM" and 14 new charts to the ongoing comparison of execution speed/time that already includes Jane Street, Citadel Securities, and Virtu Financial. Again, with each step, this analysis yields new insights and increasing fascination...
Under 100 Milliseconds: Jane Street Enters The Picture
Alphacution adds Jane Street market center "JNST" and 18 new charts to the ongoing comparison of execution speed/time that already includes Citadel Securities and Virtu Financial. With each step, this analysis yields new insights and increasing fascination...
Under 100 Milliseconds: A Virtu Financial – Citadel Securities Comparison
Alphacution adds Virtu Financial to its initial analysis on Citadel Securities about execution time for orders where price improvement is provided.
Under 100 Milliseconds
Imagine what can be accomplished in under 100 milliseconds? All market makers know the answer to this question. It's just that those answers are rarely lying around in plain sight. Well, it turns out - based on some additional modeling Alphacution did on Citadel Securities - at least some of those answers are actually lying around in plain sight...
The Place Where XTX Markets Exceeds Tesla
A new report on AI provides new and useful context for the many "uniquenesses" of London-based proprietary trading firm, XTX Markets...
Retail Equity Flow Acquisition Costs: Heart of the ‘Price Improvement’ Mechanism – Part IV (Conclusion)
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...
Billions of Odd Lots: Heart of the “Price Improvement” Mechanism – Part III
In a continuation from Parts I and II of this series, Alphacution presents a 20-chart walk through the remaining steps it needed to estimate the net price improvement value of odd lot shares - and thus, the total NPIV for all retail order size categories related to wholesale equity market maker, Citadel Securities, over the period 2020 - 2022...
Heart of the “Price Improvement” Mechanism – Part II
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...
Heart of the “Price Improvement” Mechanism – Part I
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...
