Most people are familiar with price-time priority (FIFO), but what are some other variations of matching algorithms? Here's a thread with matching algorithms used by @CMEGroup, and the products and typical volume transacted with each algorithm. (1/7) 🧵
#CME #futures #options #trading #marketdata #quant
@CMEGroup (2/7) 🧵: Key definitions
Dec 16, 2022 • 8 tweets • 3 min read
The SEC's latest proposals announced this week will bring the biggest changes to US stock market microstructure of this decade. Here's why. ⬇️
1️⃣ 📢 SEC Proposes Amendments to Enhance Disclosure of Order Execution Information (sec.gov/news/press-rel…)
Oct 11, 2022 • 6 tweets • 3 min read
What's the difference between tick data, market depth, MBP, L2, L3, and MBO? Data schemas (or "formats") have taken up various names over the years by different market data providers, and have become a common source of confusion. 😬
Let's clear this up with a quick rundown! ⬇️ 1- "Tick data" typically refers only to the prints of last sales, which lacks the granularity of MBO or even MBP data.
