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...
Shape Shifter: US Retail Investor Behavior
Alphacution presents new perspectives on US retail investor behavior in equity options...
Virtu’s Option Market Making: The “Record Year” That Wasn’t
With the latest data in hand, Alphacution follows up on Virtu's claim of "another record year in options market making in 2022."
Alphacution Press: NYT on Sam Bankman-Fried and Jane Street
Alphacution adds a few thoughts on risk management and Jane Street to Joe Rennison's New York Times article on Sam Bankman-Fried: "‘Effective Altruism’ Led Bankman-Fried to a Little-Known Wall St. Firm"
