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...
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...
Alphacution adds Virtu Financial to its initial analysis on Citadel Securities about execution time for orders where price improvement is provided.
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...
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...
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...
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...
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...
In this Feed post, Alphacution returns to an important question: Is there enough theoretical alpha still available for another highly successful nested alpha strategy architecture (NASA) player, like Citadel or SIG? The combo of Two Sigma Investments and Two Sigma Securities was - and still is - the focal point for this question...
Alphacution expands upon an outstanding analysis by BestEx Research on PFOF with additional context on price improvement by leading wholesale market makers.
