Using our ecosystem framework as a guide, this is Alphacution's mechanical interpretation of how Jim Simons and the RenTec team gains a persistent edge on the competition; a master class of sorts that may be useful to your trading strategy development, as well...
The missing data finally showed up, and that led us to this comparison of Optiver US and IMC Financial Markets through year-end 2020...
In this introduction to the 17-page, 21-exhibit presentation – Part III of Alphacution’s case study on payment for order flow (PFOF) – we present our preliminary development of the “retail flow factor” for 2020 based largely on a reconciliation of 606 data (from 10 retail brokers / 11 entities) and 605 data (from 7 wholesale market makers). The results include estimated monthly penetration of retail order flow relative to the full U.S. cash equities market for 2020 – including estimated breakdowns of odd lots and round lots – as well as some hints on where we will need to look next to further refine this factor in preparation for extending this analysis throughout 2021 and beyond…
Alphacution expands upon an outstanding analysis by BestEx Research on PFOF with additional context on price improvement by leading wholesale market makers.
Inspired by reading Igor Tulchinsky's books - albeit a couple years late - Alphacution digs into some modeling to uncover a real world application of The UnRules...
Options powerhouse IMC Financial Markets scores some recent wins and, apparently, some losses, too. Alphacution shares its evidence...
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's Q1 2021 PFOF data was made public over the weekend. Here are a few highlights...
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...
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...
