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...
Though the financial press highlighted a proposal to consider auctions in US equities for retail order flow, the SEC actually proposed 6 areas of interest for market structure rule changes. Alphacution presents its case for what's truly at issue here...
Alphacution provides recent evidence for how Jane Street Group has advanced its position among a short list of leading global proprietary trading firms...
In a rare example of public messaging, HFT and dark liquidity specialist, Hudson River Trading, overtly signals its move into the land of PFOF and price improvement. Independently, Tower Research Capital adds a clue that's related to the story. Here's why...
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…
A mini-case study on Virtu Financial, based on updated modeling through year-end 2020, cooked up special for fans of @dougielarge...
Alphacution adds to its library of evidence that retail brokerage platforms specifically decide how, when, and if to influence the trading behavior of their clients...
"If you can't beat them, arrange to have them beaten."George Carlin A silver lining of living in a suspended state of lock down is that there is a lot of good content to fill the daily spaces that need to be filled. And, now that Bluetooth earbuds allow us to basically live with these digital appendages in our ears all the time, I have been devouring an expanding library of podcasts lately. (Participating in some, as well). Of the few market structure-oriented podcasts that are out there, IEX's Boxes and Lines is among my favorites. It's both thought-provoking and the banter of the hosts raises an audible chuckle from time to time... Now, the reason I wanted to take a longer-than-necessary stroll to my point is that today's Boxes and Lines episode just so happened to be entitled, "The State of Displayed Liquidity." It's a topic that's relevant to the story I wanted to tell here because the state of displayed liquidity - which is in decline - provides a [...]
