Market Making / Microstructure

An in-depth article about Adam Grimes' trading strategies and philosophy.

A fundamental concept in understanding market structure, identifying the direction of the trend, and timing high-probability entries.

In the intricate ecosystem of the financial markets, not all price movements are organic expressions of supply and demand. Some are engineered. The "stop run," also known as a "liquidity hunt," is a c

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

Move beyond single order types and learn to combine them for superior trade management. This article explores how to use OCO, bracket, and trailing stops in concert to create robust, automated intraday trading systems.

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

For the intraday trader, success hinges not merely on directional prediction but on a profound understanding of how orders interact within the market's immediate structure. This article dissects the c

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

Learn how to profit from the bid-ask bounce, a classic market making strategy for intraday traders.

A comprehensive, step-by-step guide to trading the Market Maker Model on 5-minute charts, from identifying the higher timeframe trend to executing the trade.

Exploring advanced analytical techniques on tick data, such as volume profiling, order flow analysis, and detecting spoofing/layering activities.

A comprehensive guide to understanding and navigating liquidity holes and flash crashes. This article covers the anatomy of a flash crash, strategies for risk management, and opportunistic trading strategies for these volatile market events.

An exploration of the relationship between Regulation SHO and the options markets, including how options can be used to circumvent the locate requirement and the impact of the options market maker exception.

A historical overview of the evolution of Regulation SHO, from the original uptick rule to the current short sale circuit breaker, and how these changes have impacted trading strategies.

A practical guide for traders on how to navigate the locate requirement for short sales, including how to deal with hard-to-borrow lists and the associated costs.

A guide for traders on how to navigate the complexities of Regulation SHO during corporate actions, such as mergers, acquisitions, and spin-offs.

An in-depth look at the close-out requirements of Regulation SHO and how they can impact trading strategies, with a focus on fails-to-deliver and the potential for forced buy-ins.

A guide for traders on the 'short exempt' tag, including when it can be used, how it impacts order execution, and the potential for misuse.

A common dilemma for investors with a concentrated stock position is the need for liquidity. They may need cash for a variety of reasons—a major purchase, a new investment, or simply to cover living expenses. However, selling a large block...

A practical guide to making fitness functions more realistic by accounting for trading frictions. Learn how to model fixed and variable transaction costs, and the challenges of estimating and incorporating slippage, with code examples.

An inside look at how market makers and large institutional players can influence the price of a stock around expiration. This article explores the concept of a 'gamma trap' and how it can exacerbate pin risk for retail traders.

Latency arbitrage is a game of speed, and in this game, colocation is the only winning strategy. This article breaks down the physics of latency and explains why the public cloud is a non-starter for any serious latency arbitrageur.

The cloud is changing the game for market makers. This article explains how a new breed of data-driven market makers is using the cloud to predict price movements and reshape the economics of liquidity provision.

A comparative analysis of the U.S. Tick Size Pilot Program with similar tick size reforms in other countries, and what the global experience can teach us about the future of market structure reform.

An analysis of the data on market maker profitability collected during the pilot, exploring how the wider spreads affected the profitability of market making in small-cap stocks and whether this led to a change in the number of market makers.

An exploration of how the fixed $0.05 spread in the Tick Size Pilot Program created new, albeit small, arbitrage opportunities for high-frequency traders and statistical arbitrage funds.

A forward-looking analysis of the lessons learned from the Tick Size Pilot Program and their implications for the future of tick sizes and market structure reform.