377 entries
Trading & execution
Order types, execution, market microstructure, settlement and clearing, intraday phenomena.
- TWAP vs VWAP Order: Which to Use Compare TWAP and VWAP execution algorithms: when to use time-weighted average price versus volume-weighted average price for large orders.
- Two-Sided Quote Obligation for Market Makers Explains two sided quote obligation market maker rules: continuous bid and ask posting, minimum size, spread limits, and regulatory enforcement.
- Variation Margin Daily Daily mark-to-market cash flows on derivatives and futures positions, settling realized gains and losses without waiting for contract expiration.
- Volatility Rules Trading restrictions and halts triggered when market prices or individual stocks experience unusually large, rapid movements.
- Volume Clock Intraday time measured by cumulative transaction count rather than calendar minutes, stabilizing microstructure patterns.
- Volume Participation Order An algorithmic order that executes proportionally to market volume, attempting to minimize market impact during execution.
- Volume-Inline Algorithm An execution strategy that adapts order pace to real-time market volume, reducing market impact and minimising tracking error.
- VWAP as an Execution Cost Benchmark How traders use the volume-weighted average price to evaluate whether an order was executed cheaply relative to the day's market activity.
- VWAP Execution A trading algorithm that targets the volume-weighted average price of a security over a specified time period, minimising market impact for large orders.
- VWAP Magnet Effect How institutional algorithms anchored to VWAP as an execution benchmark create mean-reversion pull that draws intraday prices back toward the volume-weighted average.
- VWAP order A VWAP (volume-weighted average price) order is an algorithmic order that slices your large order into smaller pieces and executes them throughout the day, targeting an execution price equal to the day's volume-weighted average price.
- VWAP Reversion Intraday Covers how prices frequently revert toward the daily VWAP after large deviations and why institutional algorithms reinforce this tendency.
- Wash Trading Prohibition and Market Integrity Wash trading is a prohibited practice where traders create the illusion of market activity without real ownership transfer. Learn how regulators detect wash trades and enforce penalties.
- What Is the Trade-Through Rule for Individual Investors How the trade-through rule protects individual investors' limit orders from being executed at worse prices, and what brokers must do to comply with Reg NMS.
- When to Convert a Stop Order to a Stop-Limit Order Learn when to use a stop-limit order instead of a plain stop order based on gap risk, liquidity, and your tolerance for missing an exit.
- Why a Stop-Limit Order Can Go Unfilled Stop-limit order never filled: gaps, volatility, and illiquidity can breach the stop price but skip the limit price, leaving the order unfilled and the position unprotected.
- Window Dressing The practice of fund managers buying recent winners and selling losers in the final days of a reporting period to improve the appearance of their portfolio to investors.
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