The sleight of hand:PFOF is real money, a payment for valuable service, PI is a big, but completely virtual number, ignores odd lots, ample mid liqudity, complete inability of retail flow to match with retail flow and absurdly wide lit quote, near 2x wider vs Japan/EU for midcapshttps://twitter.com/Dougielarge/status/1402688170764943360 …
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Decreasing the min ticksize to a half penny is definitely a good idea
I'm curious, do you think if rule 605 reports included odd lots that price improvement metrics would decrease materially? Honestly wondering not trolling
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I don't know. My guess is midpoint matching is relatively more important, and that won't be in any reports
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do you have any strong opinions on the Canadian-style order protection rules (whole book) vs US top of book?
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Even if you assume the PI metrics are identical or even improve slightly then it's still probably not enough to compensate for the widening of lit markets and deterioration liquidity/price discovery there.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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