I meant to save this in drafts to look at it later, oops. Anyway my hunch is that top of book sizes are smaller but spreads are much narrower now, and if you analyse it properly it is unambiguously much cheaper to trade size now despite all the fuss about HFTs and “fragility”
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then: commission now: democratized finance
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Didn’t you should a good chart of bid/ask spreads over the past decade or so in the e-mini?
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Is this basically MIFID? Would you add in research separately?
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Look at spread over time, rather than instantaneously. A “volume” spread rather than a “snapshot” spread.
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