Comparison of cost to execute in 2013(?) vs 2021
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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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i can confirm it is, but i will not be posting data because that’s how i get fired
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but you will get internet points on twitter dot com!!! so it all even out, right?
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In case you plan to post a thread, please feel free to do so
I do recall @NewRiverInvest has mentioned this awhile ago (on 2021 execution cost). Will share here if I can find it.Thanks. Twitter will use this to make your timeline better. UndoUndo
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I’m not directly involved in the industry, but as a casual observer almost every interview I see is people complaining about lack of liquidity and how hard it is to trade size now. Very interesting dude!
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It’s more complex now, much of the liquidity is not on the books, but overall costs are lower for those that invest in the techniques or outsource it. But, if you see 10k on the SIP offer, no, you probably won’t be able to lift it via your 15-years-old EMS.
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This Tweet is unavailable.
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Yep v good point! I send a lot of daily VWAPs so I could look at it, although that's getting closer to stuff that I can't really post.
End of conversation
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That's on exchange. Otc has become much tougher after 2008 afaik
Thanks. Twitter will use this to make your timeline better. UndoUndo
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Cliff Asness has said something similar
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Shit, I must be wrong!
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